Index policies for a class of discounted restless bandits

Abstract

The paper concerns a class of discounted restless bandit problems which possess an indexability property. Conservation laws yield an expression for the reward suboptimality of a general policy. These results are utilised to study the closeness to optimality of an index policy for a special class of simple and natural dual speed restless bandits for which indexability is guaranteed. The strong performance of the index policy is confirmed by a computational study.