A Linear Programming Relaxation and a Heuristic for the Restless Bandit Problem with General Switching Costs
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Publication:6209470
arXiv0805.1563MaRDI QIDQ6209470FDOQ6209470
Authors: Jerome Le Ny, Munther A. Dahleh, Eric Feron 
Publication date: 11 May 2008
Abstract: We extend a relaxation technique due to Bertsimas and Nino-Mora for the restless bandit problem to the case where arbitrary costs penalize switching between the bandits. We also construct a one-step lookahead policy using the solution of the relaxation. Computational experiments and a bound for approximate dynamic programming provide some empirical support for the heuristic.
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