Conditions for indexability of restless bandits and an O(K^3) algorithm to compute Whittle index
Abstract
Restless bandits are a class of sequential resource allocation problems concerned with allocating one or more resources among several alternative processes where the evolution of the process depends on the resource allocated to them. Such models capture the fundamental tradeoffs between exploration and exploitation. In 1988, Whittle developed an index heuristic for restless bandit problems which has emerged as a popular solution approach due to its simplicity and strong empirical performance. The Whittle index heuristic is applicable if the model satisfies a technical condition known as indexability. In this paper, we present two general sufficient conditions for indexability and identify simpler to verify refinements of these conditions. We then revisit a previously proposed algorithm called adaptive greedy algorithm which is known to compute the Whittle index for a subclass of restless bandits. We show that a generalization of the adaptive greedy algorithm computes the Whittle index for all indexable restless bandits. We present an efficient implementation of this algorithm which can compute the Whittle index of a restless bandit with $K$ states in O(K^3) computations. Finally, we present a detailed numerical study which affirms the strong performance of the Whittle index heuristic.
 Publication:

arXiv eprints
 Pub Date:
 August 2020
 DOI:
 10.48550/arXiv.2008.06111
 arXiv:
 arXiv:2008.06111
 Bibcode:
 2020arXiv200806111A
 Keywords:

 Electrical Engineering and Systems Science  Systems and Control;
 Mathematics  Optimization and Control