A Linear Programming Relaxation and a Heuristic for the Restless Bandit Problem with General Switching Costs

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.