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

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

2008-05-11

arxiv.org/abs/0805.1563v1

Mathematics

Optimization and Control

17 pages, 1 table

Scientific paper

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.

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