Indexability and whittle index for restless bandit problems involving reset processes

Keqin Liu*, Richard Weber, Qing Zhao

*Corresponding author for this work

Research output: Chapter in Book or Report/Conference proceedingConference Proceedingpeer-review

17 Citations (Scopus)

Abstract

We consider a class of restless multi-armed bandit (RMAB) problems, in which the active action resets the stochastic evolution of the system. We obtain the Whittle index in closed-form, showing that it induces a policy that is equivalent to the myopic policy, and that it is optimal for stochastically identical arms. These results find applications in opportunistic spectrum access and supervisory control systems such as anomaly detection and control.

Original languageEnglish
Title of host publication2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages7690-7696
Number of pages7
ISBN (Print)9781612848006
DOIs
Publication statusPublished - 2011
Event2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011 - Orlando, FL, United States
Duration: 12 Dec 201115 Dec 2011

Publication series

NameProceedings of the IEEE Conference on Decision and Control
ISSN (Print)0743-1546
ISSN (Electronic)2576-2370

Conference

Conference2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
Country/TerritoryUnited States
CityOrlando, FL
Period12/12/1115/12/11

Keywords

  • myopic policy
  • Reset processes
  • restless multi-armed bandit
  • Whittle index policy

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