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Eindhoven Stochastics Colloquium
Jun 8, 2018, 11:00 - 12:00
Santiago Duran (CNRS, LAAS & Universite de Toulouse)
Asymptotic Optimal Control of Markov-Modulated Restless Bandits
In this talk we will discuss optimal control subject to changing conditions (a changing environment). This is an area that recently received a lot of attention as it arises in numerous situations in practice. Some applications being cloud computing systems with fluctuating arrival rates, or the time-varying capacity as encountered in power-aware systems or wireless downlink channels. To study this, we focus on a restless bandit model, which has proved to be a powerful stochastic optimization framework to model scheduling of activities. This work is a first step to its optimal control when restless bandits are subject to changing conditions.
We consider the restless bandit problem in an asymptotic regime, which is obtained by letting the population of bandits grow large, and letting the environment change relatively fast. We present sufficient conditions for a policy to be asymptotically optimal and show that a set of priority policies satisfies these. Under an indexability assumption, an averaged version of Whittle’s index policy is proved to be inside this set of asymptotic optimal policies. The performance of the averaged Whittle’s index policy is numerically evaluated for a multi-class scheduling problem.