%0 Journal Article
%T A Linear Programming Relaxation and a Heuristic for the Restless Bandit Problem with General Switching Costs
%A Jerome Le Ny
%A Munther Dahleh
%A Eric Feron
%J Mathematics
%D 2008
%I arXiv
%X We extend a relaxation technique due to Bertsimas and Nino-Mora for the restless bandit problem to the case where arbitrary costs penalize switching between the bandits. We also construct a one-step lookahead policy using the solution of the relaxation. Computational experiments and a bound for approximate dynamic programming provide some empirical support for the heuristic.
%U http://arxiv.org/abs/0805.1563v1