A Linear Programming Relaxation and a Heuristic for the Restless Bandit Problem with General Switching Costs
Optimization and Control
2008-05-13 v1
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.
Keywords
Cite
@article{arxiv.0805.1563,
title = {A Linear Programming Relaxation and a Heuristic for the Restless Bandit Problem with General Switching Costs},
author = {Jerome Le Ny and Munther Dahleh and Eric Feron},
journal= {arXiv preprint arXiv:0805.1563},
year = {2008}
}
Comments
17 pages, 1 table