When are Kalman-Filter Restless Bandits Indexable?

Part of Advances in Neural Information Processing Systems 28 (NIPS 2015)

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Authors

Christopher R. Dance, Tomi Silander

Abstract

We study the restless bandit associated with an extremely simple scalar Kalman filter model in discrete time. Under certain assumptions, we prove that the problem is {\it indexable} in the sense that the {\it Whittle index} is a non-decreasing function of the relevant belief state. In spite of the long history of this problem, this appears to be the first such proof. We use results about {\it Schur-convexity} and {\it mechanical words}, which are particularbinary strings intimately related to {\it palindromes}.