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Spinning plates and squad systems: policies for bi-directional restless bandits

  • K. D. Glazebrook (a1), C. Kirkbride (a1) and D. Ruiz-Hernandez (a2)

Abstract

This paper concerns two families of Markov decision problem that fall within the family of (bi-directional) restless bandits, an intractable class of decision processes introduced by Whittle. The spinning plates problem concerns the optimal management of a portfolio of reward-generating assets whose yields grow with investment but otherwise tend to decline. In the model of asset exploitation called the squad system, the yield from an asset tends to decline when it is used but will recover when the asset is at rest. In all cases, simply stated conditions are given that guarantee indexability of the problem, together with conditions necessary and sufficient for its strict indexability. The index heuristics for asset activation that emerge from the analysis are assessed numerically and found to perform very strongly.

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Copyright

Corresponding author

Postal address: Department of Mathematics and Statistics, Lancaster University, Lancaster LA1 4YF, UK. Email address: k.glazebrook@lancaster.ac.uk
∗∗ Postal address: Department of Management Science, Lancaster University, Lancaster LA1 4YX, UK.
∗∗∗ Department of Economics and Business, Universitat Pompeu Fabra, Barcelona, E-08005, Spain.

References

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Ansell, P. S., Glazebrook, K. D., Niño-Mora, J. and O'Keeffe, M. (2003). Whittle's index policy for a multi-class queueing system with convex holding costs. Math. Meth. Operat. Res. 57, 2139.
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Glazebrook, K. D., Lumley, R. R. and Ansell, P. S. (2003). Index heuristics for multi-class M/G/1 systems with non-preemptive service and convex holding costs. Queueing Systems 45, 81111.
Glazebrook, K. D., Niño-Mora, J. and Ansell, P. S. (2002). Index policies for a class of discounted restless bandits. Adv. Appl. Prob. 34, 754774.
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Spinning plates and squad systems: policies for bi-directional restless bandits

  • K. D. Glazebrook (a1), C. Kirkbride (a1) and D. Ruiz-Hernandez (a2)

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