1 October 2018 in Applied Energy
1 November 2016 in Journal of Cleaner Production
1 October 2014 in Mechanical Systems and Signal Processing
RGRaúl Ruiz de la Hermosa González-Carrato
Raúl Ruiz de la Hermosa González-Carrato
1 September 2006 in Advances in Applied Probability
In 1988 Whittle introduced an important but intractable class ofrestless bandit problemswhich generalise themultiarmed bandit problemsof Gittins by allowing state evolution for passive projects. Whittle's account deployed a Lagrangian relaxation of the optimisation problem to develop an index heuristic. Despite a developing body of evidence (both theoretical and empirical) which underscores the strong performance of Whittle's index policy, a continuing challenge to implementation is the need to establish that the competing projects all pass an indexability test. In this paper we employ Gittins' index theory to establish the indexability of (inter alia) general families of restless bandits which arise in problems of machine maintenance and stochastic scheduling problems with switching penalties. We also give formulae for the resulting Whittle indices. Numerical investigations testify to the outstandingly strong performance of the index heuristics concerned.
1 October 2012 in Journal of Psychiatric Research
1 July 2020 in Computers & Operations Research