Approximations of the Restless Bandit Problem
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The multi-armed restless bandit problem is studied in the case where the pay-offs are not necessarily independent over time nor across the arms. Even though this version of the problem provides a more realistic model for most real-world applications, it cannot be optimally solved in practice since it is known to be PSPACE-hard. The objective of this paper is to characterize special sub-classes of the problem where good approximate solutions can be found using tractable approaches. Specifically, it is shown that in the case where the joint distribution over the arms is φ-mixing, and under some conditions on the φ-mixing coefficients, a modified version of UCB can prove optimal. On the other hand, it is shown that when the pay-off distributions are strongly dependent, simple switching strategies may be devised which leverage the strong inter-dependencies. To this end, an example is provided using Gaussian Processes. The techniques developed in this paper apply, more generally, to the problem of online sampling under dependence.
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