Advanced Search
MyIDEAS: Login

Two-stage index computation for bandits with switching penalties II : switching delays

Contents:

Author Info

  • Jose Nino-Mora

    ()

Registered author(s):

    Abstract

    This paper addresses the multi-armed bandit problem with switching penalties including both costs and delays, extending results of the companion paper [J. Niño-Mora. "Two-Stage Index Computation for Bandits with Switching Penalties I: Switching Costs". Conditionally accepted at INFORMS J. Comp.], which addressed the no switching delays case. Asawa and Teneketzis (1996) introduced an index for bandits with delays that partly characterizes optimal policies, attaching to each bandit state a "continuation index" (its Gittins index) and a "switching index", yet gave no algorithm for it. This paper presents an efficient, decoupled computation method, which in a first stage computes the continuation index and then, in a second stage, computes the switching index an order of magnitude faster in at most (5/2)$n^{3}$+O(n) arithmetic operations for an n -state bandit. The paper exploits the fact that the Asawa and Teneketzis index is the Whittle, or marginal productivity, index of a classic bandit with switching penalties in its semi- Markov restless reformulation, by deploying work-reward analysis and LP-indexability methods introduced by the author. A computational study demonstrates the dramatic runtime savings achieved by the new algorithm, the near-optimality of the index policy, and its substantial gains against a benchmark index policy across a wide instance range.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://e-archivo.uc3m.es/bitstream/10016/795/1/ws074210.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws074210.

    as in new window
    Length:
    Date of creation: May 2007
    Date of revision:
    Handle: RePEc:cte:wsrepe:ws074210

    Contact details of provider:
    Postal: C/ Madrid, 126 - 28903 GETAFE (MADRID)
    Phone: 6249847
    Fax: 6249849
    Web page: http://www.uc3m.es/uc3m/dpto/DEE/departamento.html
    More information through EDIRC

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:ws074210. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.