scholarly journals A Restless Bandit Model for Resource Allocation, Competition, and Reservation

2021 ◽  
Author(s):  
Jing Fu ◽  
Bill Moran ◽  
Peter G. Taylor
Keyword(s):  
Resource Allocation ◽  
Numerical Experiments ◽  
Asymptotic Optimality ◽  
Sufficient Condition ◽  
Limited Capacity ◽  
Index Policy ◽  
Asymptotically Optimal ◽  
Restless Bandit ◽  
Simple Sufficient Condition ◽  
Resource Capacity

In “A Restless Bandit Model for Resource Allocation, Competition and Reservation,” J. Fu, B. Moran, and P. G. Taylor study a resource allocation problem with varying requests and with resources of limited capacity shared by multiple requests. This problem is modeled as a set of heterogeneous restless multi-armed bandit problems (RMABPs) connected by constraints imposed by resource capacity. Following Whittle’s idea of relaxing the constraints and Weber and Weiss’s proof of asymptotic optimality, the authors propose an index policy and establish conditions for it to be asymptotically optimal in a regime where both arrival rates and capacities increase. In particular, they provide a simple sufficient condition for asymptotic optimality of the policy and, in complete generality, propose a method that generates a set of candidate policies for which asymptotic optimality can be checked. Via numerical experiments, they demonstrate the effectiveness of these results even in the pre-limit case.

scholarly journals On the asymptotic optimality of greedy index heuristics for multi-action restless bandits

2015 ◽  
Vol 47 (03) ◽  
pp. 652-667
Author(s):  
D. J. Hodge ◽  
K. D. Glazebrook
Keyword(s):  
Differential Equation ◽  
Resource Allocation ◽  
Lagrangian Relaxation ◽  
Asymptotic Optimality ◽  
General Setting ◽  
Resource Constraint ◽  
Asymptotically Optimal ◽  
Restless Bandits ◽  
Multiple Levels

The class of restless bandits as proposed by Whittle (1988) have long been known to be intractable. This paper presents an optimality result which extends that of Weber and Weiss (1990) for restless bandits to a more general setting in which individual bandits have multiple levels of activation but are subject to an overall resource constraint. The contribution is motivated by the recent works of Glazebrook et al. (2011a), (2011b) who discussed the performance of index heuristics for resource allocation in such systems. Hitherto, index heuristics have been shown, under a condition of full indexability, to be optimal for a natural Lagrangian relaxation of such problems in which a resource is purchased rather than constrained. We find that under key assumptions about the nature of solutions to a deterministic differential equation that the index heuristics above are asymptotically optimal in a sense described by Whittle. We then demonstrate that these assumptions always hold for three-state bandits.

scholarly journals On the asymptotic optimality of greedy index heuristics for multi-action restless bandits

2015 ◽  
Vol 47 (3) ◽  
pp. 652-667 ◽  
Author(s):  
D. J. Hodge ◽  
K. D. Glazebrook
Keyword(s):  
Differential Equation ◽  
Resource Allocation ◽  
Lagrangian Relaxation ◽  
Asymptotic Optimality ◽  
General Setting ◽  
Resource Constraint ◽  
Asymptotically Optimal ◽  
Restless Bandits ◽  
Multiple Levels

The class of restless bandits as proposed by Whittle (1988) have long been known to be intractable. This paper presents an optimality result which extends that of Weber and Weiss (1990) for restless bandits to a more general setting in which individual bandits have multiple levels of activation but are subject to an overall resource constraint. The contribution is motivated by the recent works of Glazebrook et al. (2011a), (2011b) who discussed the performance of index heuristics for resource allocation in such systems. Hitherto, index heuristics have been shown, under a condition of full indexability, to be optimal for a natural Lagrangian relaxation of such problems in which a resource is purchased rather than constrained. We find that under key assumptions about the nature of solutions to a deterministic differential equation that the index heuristics above are asymptotically optimal in a sense described by Whittle. We then demonstrate that these assumptions always hold for three-state bandits.

scholarly journals ANALYSIS OF THE INEXACT UZAWA ALGORITHMS FOR NONLINEAR SADDLE-POINT PROBLEMS

2010 ◽  
Vol 51 (3) ◽  
pp. 369-382 ◽  
Author(s):  
JIAN-LEI LI ◽  
TING-ZHU HUANG ◽  
LIANG LI
Keyword(s):  
Saddle Point ◽  
Numerical Experiments ◽  
Sufficient Condition ◽  
Saddle Point Problems ◽  
Simple Sufficient Condition ◽  
Inexact Uzawa Algorithms

AbstractInexact Uzawa algorithms for solving nonlinear saddle-point problems are proposed. A simple sufficient condition for the convergence of the inexact Uzawa algorithms is obtained. Numerical experiments show that the inexact Uzawa algorithms are convergent.

scholarly journals On the Asymptotic Optimality of a Low-Complexity Coding Strategy for WSS, MA, and AR Vector Sources

Entropy ◽  
2020 ◽  
Vol 22 (12) ◽  
pp. 1378
Author(s):  
Jesús Gutiérrez-Gutiérrez ◽  
Marta Zárraga-Rodríguez ◽  
Xabier Insausti
Keyword(s):  
Moving Average ◽  
Asymptotic Optimality ◽  
Low Complexity ◽  
Convergence Speed ◽  
Sufficient Condition ◽  
Wide Sense ◽  
Gaussian Vector ◽  
Coding Strategy

In this paper, we study the asymptotic optimality of a low-complexity coding strategy for Gaussian vector sources. Specifically, we study the convergence speed of the rate of such a coding strategy when it is used to encode the most relevant vector sources, namely wide sense stationary (WSS), moving average (MA), and autoregressive (AR) vector sources. We also study how the coding strategy considered performs when it is used to encode perturbed versions of those relevant sources. More precisely, we give a sufficient condition for such perturbed versions so that the convergence speed of the rate remains unaltered.

scholarly journals A finite model-theoretical proof of a property of bounded query classes within PH

2004 ◽  
Vol 69 (4) ◽  
pp. 1105-1116 ◽  
Author(s):  
Leszek Aleksander Kołodziejczyk
Keyword(s):  
Normal Form ◽  
Model Theory ◽  
Finite Model ◽  
Sufficient Condition ◽  
Finite Model Theory ◽  
Finite Models ◽  
Constructible Function ◽  
Simple Sufficient Condition

Abstract.We use finite model theory (in particular, the method of FM-truth definitions, introduced in [MM01] and developed in [K04], and a normal form result akin to those of [Ste93] and [G97]) to prove:Let m ≥ 2. Then:(A) If there exists k such that NP⊆ Σm TIME(nk)∩ Πm TIME(nk), then for every r there exists kr such that :(B) If there exists a superpolynomial time-constructible function f such that NTIME(f), then additionally .This strengthens a result by Mocas [M96] that for any r, .In addition, we use FM-truth definitions to give a simple sufficient condition for the arity hierarchy to be strict over finite models.

scholarly journals Asymptotic Optimality of Estimating Function Estimator for CHARN Model

2012 ◽  
Vol 2012 ◽  
pp. 1-11 ◽  
Author(s):  
Tomoyuki Amano
Keyword(s):  
Time Series ◽  
Least Squares ◽  
Financial Time Series ◽  
Asymptotic Optimality ◽  
Time Series Models ◽  
Estimating Function ◽  
Asymptotically Optimal ◽  
Financial Time ◽  
Conditional Least Squares ◽  
Better Than

CHARN model is a famous and important model in the finance, which includes many financial time series models and can be assumed as the return processes of assets. One of the most fundamental estimators for financial time series models is the conditional least squares (CL) estimator. However, recently, it was shown that the optimal estimating function estimator (G estimator) is better than CL estimator for some time series models in the sense of efficiency. In this paper, we examine efficiencies of CL and G estimators for CHARN model and derive the condition that G estimator is asymptotically optimal.

scholarly journals Some indexable families of restless bandit problems

2006 ◽  
Vol 38 (3) ◽  
pp. 643-672 ◽  
Author(s):  
K. D. Glazebrook ◽  
D. Ruiz-Hernandez ◽  
C. Kirkbride
Keyword(s):  
Index Theory ◽  
Stochastic Scheduling ◽  
Gittins Index ◽  
Scheduling Problems ◽  
Bandit Problems ◽  
Index Policy ◽  
Restless Bandit ◽  
Machine Maintenance ◽  
State Evolution ◽  
Strong Performance

In 1988 Whittle introduced an important but intractable class of restless bandit problems which generalise the multiarmed bandit problems of Gittins by allowing state evolution for passive projects. Whittle's account deployed a Lagrangian relaxation of the optimisation problem to develop an index heuristic. Despite a developing body of evidence (both theoretical and empirical) which underscores the strong performance of Whittle's index policy, a continuing challenge to implementation is the need to establish that the competing projects all pass an indexability test. In this paper we employ Gittins' index theory to establish the indexability of (inter alia) general families of restless bandits which arise in problems of machine maintenance and stochastic scheduling problems with switching penalties. We also give formulae for the resulting Whittle indices. Numerical investigations testify to the outstandingly strong performance of the index heuristics concerned.

A simple sufficient condition for triviality of obstructions in the orbifold construction for subfactors

2017 ◽  
Vol 121 (1) ◽  
pp. 101
Author(s):  
Toshihiko Masuda
Keyword(s):  
Sufficient Condition ◽  
Principal Graph ◽  
Simple Sufficient Condition ◽  
Orbifold Construction

We present a simple sufficient condition for triviality of obstructions in the orbifold construction. As an application, we can show the existence of subfactors with principal graph $D_{2n}$ without full use of Ocneanu's paragroup theory.

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