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The network selection problem in next generation heterogeneous wireless networks is one of the key issues to integrate a wide range of radio access technologies. In most previous work, the network selection problem is modeled as a centralized system, without considering the distributed nature of heterogeneous wireless networks. In this paper, we propose a distributed network selection scheme in heterogeneous wireless networks. The the heterogeneous wireless networks are formulated as a restless bandit system, which has an "indexability" property that dramatically reduces the complexity. Extensive simulation results are presented to illustrate the performance improvement of the proposed scheme.