NeurWIN: Neural Whittle Index Network For Restless Bandits Via Deep RL. (arXiv:2110.02128v2 [cs.LG] UPDATED)

Whittle index policy is a powerful tool to obtain asymptotically optimal
solutions for the notoriously intractable problem of restless bandits. However,
finding the Whittle indices remains a difficult problem for many practical
restless bandits with convoluted transition kernels. This paper proposes
NeurWIN, a neural Whittle index network that seeks to learn the Whittle indices
for any restless bandits by leveraging mathematical properties of the Whittle
indices. We show that a neural network that produces the Whittle index is also
one …

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