2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/160755We 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 tableOptimization and Control90C39text