Advances in Applied Probability

Monotone policies and indexability for bidirectional restless bandits

K. D. Glazebrook, D. J. Hodge, and C. Kirkbride

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Abstract

Motivated by a wide range of applications, we consider a development of Whittle's restless bandit model in which project activation requires a state-dependent amount of a key resource, which is assumed to be available at a constant rate. As many projects may be activated at each decision epoch as resource availability allows. We seek a policy for project activation within resource constraints which minimises an aggregate cost rate for the system. Project indices derived from a Lagrangian relaxation of the original problem exist provided the structural requirement of indexability is met. Verification of this property and derivation of the related indices is greatly simplified when the solution of the Lagrangian relaxation has a state monotone structure for each constituent project. We demonstrate that this is indeed the case for a wide range of bidirectional projects in which the project state tends to move in a different direction when it is activated from that in which it moves when passive. This is natural in many application domains in which activation of a project ameliorates its condition, which otherwise tends to deteriorate or deplete. In some cases the state monotonicity required is related to the structure of state transitions, while in others it is also related to the nature of costs. Two numerical studies demonstrate the value of the ideas for the construction of policies for dynamic resource allocation, most especially in contexts which involve a large number of projects.

Article information

Source
Adv. in Appl. Probab., Volume 45, Number 1 (2013), 51-85.

Dates
First available in Project Euclid: 15 March 2013

Permanent link to this document
https://projecteuclid.org/euclid.aap/1363354103

Digital Object Identifier
doi:10.1239/aap/1363354103

Mathematical Reviews number (MathSciNet)
MR3077541

Zentralblatt MATH identifier
1274.90473

Subjects
Primary: 90C40: Markov and semi-Markov decision processes
Secondary: 49L20: Dynamic programming method 90C39: Dynamic programming [See also 49L20] 49M20: Methods of relaxation type

Keywords
asset management Gittins index indexability inventory management Lagrangian relaxation machine maintenance monotone policy stochastic dynamic programming restless bandit Whittle index

Citation

Glazebrook, K. D.; Hodge, D. J.; Kirkbride, C. Monotone policies and indexability for bidirectional restless bandits. Adv. in Appl. Probab. 45 (2013), no. 1, 51--85. doi:10.1239/aap/1363354103. https://projecteuclid.org/euclid.aap/1363354103


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