Learning Infinite-Horizon Average-Reward Restless Multi-Action Bandits via Index Awareness
Authors: GUOJUN XIONG, Shufan Wang, Jian Li

We consider the online restless bandits with average-reward and multiple actions, where the state of each arm evolves according to a Markov decision process (MDP), and the reward of pulling an arm depends on both the current state of the corresponding MDP and the action taken.  Since finding the optimal control is typically intractable for restless bandits, existing learning algorithms are often computationally expensive or with a regret bound that is exponential in the number of arms and states.  In this paper, we advocate \textit{index-aware reinforcement learning} (RL) solutions to design RL algorithms operating on a much smaller dimensional subspace by exploiting the inherent structure in restless bandits.  Specifically, we first propose novel index policies to address dimensionality concerns, which are provably optimal.  We then leverage the indices to develop two low-complexity index-aware RL algorithms, namely, (i) GM-R2MAB, which has access to a generative model; and (ii) UC-R2MAB, which learns the model using an upper confidence style online exploitation method.  We prove that both algorithms achieve a sub-linear regret that is only polynomial in the number of arms and states.  A key differentiator between our algorithms and existing ones stems from the fact that our RL algorithms contain a novel exploitation that leverages our proposed provably optimal index policies for decision-makings.