Home > Research > Publications & Outputs > Some families of indexable restless bandit prob...

Research

Links

Text available via DOI:

Keywords

View graph of relations

Some families of indexable restless bandit problems.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

Some families of indexable restless bandit problems. / Glazebrook, Kevin; Kirkbride, C.; Ruiz-Hernandez, D.
In: Advances in Applied Probability, Vol. 38, No. 3, 01.09.2006, p. 643-672.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Glazebrook, K, Kirkbride, C & Ruiz-Hernandez, D 2006, 'Some families of indexable restless bandit problems.', Advances in Applied Probability, vol. 38, no. 3, pp. 643-672. https://doi.org/10.1239/aap/1158684996

APA

Glazebrook, K., Kirkbride, C., & Ruiz-Hernandez, D. (2006). Some families of indexable restless bandit problems. Advances in Applied Probability, 38(3), 643-672. https://doi.org/10.1239/aap/1158684996

Vancouver

Glazebrook K, Kirkbride C, Ruiz-Hernandez D. Some families of indexable restless bandit problems. Advances in Applied Probability. 2006 Sept 1;38(3):643-672. doi: 10.1239/aap/1158684996

Author

Glazebrook, Kevin ; Kirkbride, C. ; Ruiz-Hernandez, D. / Some families of indexable restless bandit problems. In: Advances in Applied Probability. 2006 ; Vol. 38, No. 3. pp. 643-672.

Bibtex

@article{97c7903d027b415eb1868ecbe54ac27e,
title = "Some families of indexable restless bandit problems.",
abstract = "In 1988 Whittle introduced an important but intractable class of restless bandit problems which generalise the multiarmed bandit problems of Gittins by allowing state evolution for passive projects. Whittle's account deployed a Lagrangian relaxation of the optimisation problem to develop an index heuristic. Despite a developing body of evidence (both theoretical and empirical) which underscores the strong performance of Whittle's index policy, a continuing challenge to implementation is the need to establish that the competing projects all pass an indexability test. In this paper we employ Gittins' index theory to establish the indexability of (inter alia) general families of restless bandits which arise in problems of machine maintenance and stochastic scheduling problems with switching penalties. We also give formulae for the resulting Whittle indices. Numerical investigations testify to the outstandingly strong performance of the index heuristics concerned.",
keywords = "Bandit problem, dynamic programming, Gittins index, machine maintenance, restless bandit, stochastic scheduling, switching cost",
author = "Kevin Glazebrook and C. Kirkbride and D. Ruiz-Hernandez",
note = "RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research",
year = "2006",
month = sep,
day = "1",
doi = "10.1239/aap/1158684996",
language = "English",
volume = "38",
pages = "643--672",
journal = "Advances in Applied Probability",
issn = "1475-6064",
publisher = "Cambridge University Press",
number = "3",

}

RIS

TY - JOUR

T1 - Some families of indexable restless bandit problems.

AU - Glazebrook, Kevin

AU - Kirkbride, C.

AU - Ruiz-Hernandez, D.

N1 - RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research

PY - 2006/9/1

Y1 - 2006/9/1

N2 - In 1988 Whittle introduced an important but intractable class of restless bandit problems which generalise the multiarmed bandit problems of Gittins by allowing state evolution for passive projects. Whittle's account deployed a Lagrangian relaxation of the optimisation problem to develop an index heuristic. Despite a developing body of evidence (both theoretical and empirical) which underscores the strong performance of Whittle's index policy, a continuing challenge to implementation is the need to establish that the competing projects all pass an indexability test. In this paper we employ Gittins' index theory to establish the indexability of (inter alia) general families of restless bandits which arise in problems of machine maintenance and stochastic scheduling problems with switching penalties. We also give formulae for the resulting Whittle indices. Numerical investigations testify to the outstandingly strong performance of the index heuristics concerned.

AB - In 1988 Whittle introduced an important but intractable class of restless bandit problems which generalise the multiarmed bandit problems of Gittins by allowing state evolution for passive projects. Whittle's account deployed a Lagrangian relaxation of the optimisation problem to develop an index heuristic. Despite a developing body of evidence (both theoretical and empirical) which underscores the strong performance of Whittle's index policy, a continuing challenge to implementation is the need to establish that the competing projects all pass an indexability test. In this paper we employ Gittins' index theory to establish the indexability of (inter alia) general families of restless bandits which arise in problems of machine maintenance and stochastic scheduling problems with switching penalties. We also give formulae for the resulting Whittle indices. Numerical investigations testify to the outstandingly strong performance of the index heuristics concerned.

KW - Bandit problem

KW - dynamic programming

KW - Gittins index

KW - machine maintenance

KW - restless bandit

KW - stochastic scheduling

KW - switching cost

U2 - 10.1239/aap/1158684996

DO - 10.1239/aap/1158684996

M3 - Journal article

VL - 38

SP - 643

EP - 672

JO - Advances in Applied Probability

JF - Advances in Applied Probability

SN - 1475-6064

IS - 3

ER -