A Linear Programming Relaxation and a Heuristic for the Restless Bandit Problem with General Switching Costs

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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.
17 pages, 1 table

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Optimization and Control, 90C39

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http://salesiana.dossiersoluciones.com/handle/123456789/160755

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0805.1563
 http://arxiv.org/abs/0805.1563

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arXiv