We address the problem of beam scheduling for downlink transmissions in a single-cell millimeter wave (mmWave) network. The cell contains a mmWave base station (mBS) and its associated users. At the end of each time slot, a packet arrives into the queue of a user at the mBS with a certain probability. A holding cost is incurred for the packets stored in a user's queue at the mBS in every time slot. The number of simultaneous beams that the mBS can form to different users is less than the number of associated users. Also, a cost is incurred whenever a beam is formed from the mBS to a user. In a given time slot, a packet transmitted from the mBS to a user that has been assigned a beam is successfully received (respectively, not received) if the channel quality between the mBS and the user is good (respectively, bad). In every time slot, the mBS needs to assign the available beams to a subset of the users, in order to minimize the long-run expected average cost. This problem can be modeled as a restless multi-armed bandit problem, which is provably hard to solve. We prove the Whittle indexability of the above beam scheduling problem and propose a strategy to compute the Whittle index of each user. In each time slot, our proposed beam scheduling policy assigns beams to the users with the smallest Whittle indices. Using extensive simulations, we show that our proposed Whittle index-based beam scheduling policy significantly outperforms several scheduling policies proposed in prior work in terms of the average cost, average delay, as well as energy efficiency.