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Restless bandits: activity allocation in a changing world

Published online by Cambridge University Press:  14 July 2016

P. Whittle
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Abstract

We consider a population of n projects which in general continue to evolve whether in operation or not (although by different rules). It is desired to choose the projects in operation at each instant of time so as to maximise the expected rate of reward, under a constraint upon the expected number of projects in operation. The Lagrange multiplier associated with this constraint defines an index which reduces to the Gittins index when projects not being operated are static. If one is constrained to operate m projects exactly then arguments are advanced to support the conjecture that, for m and n large in constant ratio, the policy of operating the m projects of largest current index is nearly optimal. The index is evaluated for some particular projects.

Keywords

GITTINS INDEXMULTI-ARMED BANDITSSEQUENTIAL SCHEDULINGSTIMULATING PRICESINDEXABILITY

Information

Type
Part 6 - The Analysis of Stochastic Phenomena
Information
Journal of Applied Probability , Volume 25 , Issue A , 1988, pp. 287 - 298
Copyright
Copyright © Applied Probability Trust 1988 

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References

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