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Addendum to ‘On an index policy for restless bandits'

Published online by Cambridge University Press:  01 July 2016

Richard R. Weber  and
Gideon Weiss
Richard R. Weber*
Affiliation:
University of Cambridge
Gideon Weiss*
Affiliation:
Georgia Institute of Technology
*
∗Postal address: Management Studies Group, Department of Engineering, Mill Lane, Cambridge CB2 1RX, UK.
∗∗Postal address: School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332–0205, USA.
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Abstract

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We show that the fluid approximation to Whittle's index policy for restless bandits has a globally asymptotically stable equilibrium point when the bandits move on just three states. It follows that in this case the index policy is asymptotic optimal.

Type
Letters to the Editor
Information
Advances in Applied Probability , Volume 23 , Issue 2 , June 1991 , pp. 429 - 430
Copyright
Copyright © Applied Probability Trust 1991 

Footnotes

Research supported by NSF grant DDM–8914863.

References

1. Jordan, D. W. and Smith, P. (1987) Nonlinear Ordinary Differential Equations , 2nd edn. Clarendon Press, Oxford.Google Scholar
2. Weber, R. R. and Weiss, G. (1990) On an index policy for restless bandits. J. Appl. Prob. 27, 637–648.Google Scholar
3. Whittle, P. (1988) Restless bandits: activity allocation in a changing world. In A Celebration of Applied Probability , ed. Gani, J., J. Appl. Prob. 25A, 287–298.Google Scholar