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

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dc.creatorNy, Jerome Le
dc.creatorDahleh, Munther
dc.creatorFeron, Eric
dc.date2008-05-11
dc.date.accessioned2026-07-07T09:38:17Z
dc.date.available2026-07-07T09:38:17Z
dc.descriptionWe 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.
dc.description17 pages, 1 table
dc.identifierhttps://arxiv.org/abs/0805.1563
dc.identifierhttp://arxiv.org/abs/0805.1563
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/160755
dc.subjectOptimization and Control
dc.subject90C39
dc.titleA Linear Programming Relaxation and a Heuristic for the Restless Bandit Problem with General Switching Costs
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