The Annals of Applied Probability

Asymptotically optimal priority policies for indexable and nonindexable restless bandits

I. M. Verloop

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Abstract

We study the asymptotic optimal control of multi-class restless bandits. A restless bandit is a controllable stochastic process whose state evolution depends on whether or not the bandit is made active. Since finding the optimal control is typically intractable, we propose a class of priority policies that are proved to be asymptotically optimal under a global attractor property and a technical condition. We consider both a fixed population of bandits as well as a dynamic population where bandits can depart and arrive. As an example of a dynamic population of bandits, we analyze a multi-class $\mathit{M/M/S+M}$ queue for which we show asymptotic optimality of an index policy.

We combine fluid-scaling techniques with linear programming results to prove that when bandits are indexable, Whittle’s index policy is included in our class of priority policies. We thereby generalize a result of Weber and Weiss [J. Appl. Probab. 27 (1990) 637–648] about asymptotic optimality of Whittle’s index policy to settings with (i) several classes of bandits, (ii) arrivals of new bandits and (iii) multiple actions.

Indexability of the bandits is not required for our results to hold. For nonindexable bandits, we describe how to select priority policies from the class of asymptotically optimal policies and present numerical evidence that, outside the asymptotic regime, the performance of our proposed priority policies is nearly optimal.

Article information

Source
Ann. Appl. Probab. Volume 26, Number 4 (2016), 1947-1995.

Dates
Received: June 2014
Revised: August 2015
First available in Project Euclid: 1 September 2016

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1472745449

Digital Object Identifier
doi:10.1214/15-AAP1137

Mathematical Reviews number (MathSciNet)
MR3543887

Zentralblatt MATH identifier
1349.90834

Subjects
Primary: 90C40: Markov and semi-Markov decision processes
Secondary: 68M20: Performance evaluation; queueing; scheduling [See also 60K25, 90Bxx] 90B36: Scheduling theory, stochastic [See also 68M20]

Keywords
Restless bandits asymptotic optimality Whittle’s index policy arm-aquiring bandits nonindexable bandits

Citation

Verloop, I. M. Asymptotically optimal priority policies for indexable and nonindexable restless bandits. Ann. Appl. Probab. 26 (2016), no. 4, 1947--1995. doi:10.1214/15-AAP1137. https://projecteuclid.org/euclid.aoap/1472745449.


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