Restless bandits: activity allocation in a changing world

Publisher Website
Google Scholar
Abstract
We consider a population ofnprojects 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 operatemprojects exactly then arguments are advanced to support the conjecture that, formandnlarge in constant ratio, the policy of operating themprojects of largest current index is nearly optimal. The index is evaluated for some particular projects.

This publication has 2 references indexed in Scilit: