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Marginal productivity index policies for scheduling restless bandits with switching penalties Niño-Mora, José stochastic scheduling restless bandits index policies switching penalties 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 NiÃ?±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. Schloss Dagstuhl – Leibniz-Zentrum für Informatik José Niño-Mora 2005 Is Part Of Dagstuhl Seminar Proceedings, Volume 5031, Algorithms for Optimization with Incomplete Information (2005) InProceedings Text doc-type:ResearchArticle publishedVersion application/pdf doi:10.4230/DagSemProc.05031.13 urn:nbn:de:0030-drops-644 https://drops.dagstuhl.de/entities/document/10.4230/DagSemProc.05031.13 eng https://creativecommons.org/licenses/by/4.0/legalcode