Skip to main content Accessibility help
×
Home

Restless bandits: activity allocation in a changing world

  • P. Whittle

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.

Copyright

References

Hide All
Gittins, J. C. (1979) Bandit processes and dynamic allocation indices. J. R. Statist. Soc. B 41, 148164.
Gittins, J. C. and Jones, D. M. (1974) A dynamic allocation index for the sequential design of experiments. In Progress in Statistics ed. Gani, J., North-Holland, Amsterdam, 241266.
Weiss, G. (1987) Approximation in results in parallel machines stochastic scheduling. Presented at the Twelfth Symposium on Operations Research, Passau.
Whittle, P. (1980) Multi-armed bandits and the Gittins index. J. R. Statist. Soc. B 42, 142149.
Whittle, P. (1981) Arm-acquiring bandits. Ann. Prob. 9, 284292.
Whittle, P. (1984) Optimal routing in Jackson networks. Asia-Pacific J. Operat. Res. 1, 3237.
Whittle, P. (1986) Systems in Stochastic Equilibrium . Wiley, Chichester.

Keywords

Related content

Powered by UNSILO

Restless bandits: activity allocation in a changing world

  • P. Whittle

Metrics

Altmetric attention score

Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Abstract views

Total abstract views: 0 *
Loading metrics...

* Views captured on Cambridge Core between <date>. This data will be updated every 24 hours.

Usage data cannot currently be displayed.