Chen Yan

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math.OC2025

Achieving $O ~ (1/ N)$ Optimality Gap in Restless Bandits through Gaussian Approximation

Chen Yan, Weina Wang, Lei Ying

We study the finite-horizon Restless Multi-Armed Bandit (RMAB) problem with $N$ homogeneous arms. Prior work has shown that when an RMAB satisfies a non-degeneracy condition, Linea…

math.OC2024

Reoptimization Nearly Solves Weakly Coupled Markov Decision Processes

Nicolas Gast, Bruno Gaujal, Chen Yan

We propose a new policy, called the LP-update policy, to solve finite horizon weakly-coupled Markov decision processes. The latter can be seen as multi-constraint multi-action band…

Achieving O~(1/N) Optimality Gap in Restless Bandits through Gaussian Approximation

Reoptimization Nearly Solves Weakly Coupled Markov Decision Processes

Achieving $O ~ (1/ N)$ Optimality Gap in Restless Bandits through Gaussian Approximation