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The performance of index-based policies for bandit problems with stochastic machine availability

Lookup NU author(s): Ryan Thomas Dunn, Professor Kevin Glazebrook

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Abstract

We consider generalisations of two classical stochastic scheduling models, namely the discounted branching bandit and the discounted multi-armed bandit, to the case where the collection of machines available for processing is itself a stochastic process. Under rather mild conditions on the machine availability process we obtain performance guarantees for a range of controls based on Gittins indices. Various forms of asymptotic optimality are established for index-based limit policies as the discount rate approaches 0.

Publication metadata

Author(s): Dunn RT, Glazebrook KD

Publication type: Article

Publication status: Published

Journal: Advances in Applied Probability

Year: 2001

Volume: 33

Issue: 2

Pages: 365-390

ISSN (print): 0001-8678

ISSN (electronic): 1475-6064

Publisher: Applied Probability Trust

URL: http://dx.doi.org/10.1239/aap/999188319

DOI: 10.1239/aap/999188319

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