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Marginal productivity index policies for scheduling restless bandits with switching penalties

Author José Niño-Mora



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José Niño-Mora

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José Niño-Mora. Marginal productivity index policies for scheduling restless bandits with switching penalties. In Algorithms for Optimization with Incomplete Information. Dagstuhl Seminar Proceedings, Volume 5031, pp. 1-6, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2005)
https://doi.org/10.4230/DagSemProc.05031.13

Abstract

We address the problem of designing a tractable, well-grounded policy for the dynamic allocation of effort to a collection of restless bandit projects, i.e. binary-action (active/passive) Markov decision processes, in which sequence-independent switching penalties (costs or delays) are incurred when switching from one project to another. We deploy the framework of partial conservation laws, introduced by Ni�±o-Mora (2001, 2002), to establish the existence of and calculate a marginal productivity index (MPI), under certain conditions. The MPI, which extends earlier indices proposed by Gittins (1979) and Whittle (1988), yields a corresponding MPI policy, which prescribes to dynamically engage the project with larger index.
Keywords
  • stochastic scheduling
  • restless bandits
  • index policies
  • switching penalties

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