A control problem arising in the sequential design of experiments

DOI10.1214/aop/1176992620zbMath0599.60043OpenAlexW2094601947MaRDI QIDQ1080274

Gary Lorden, Steven P. Lalley

Publication date: 1986

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176992620

zbMATH Keywords

sequential design of experimentsMarkovian decision problemsfirst passage problemsasymptotic efficiency of suboptimal policiescontrolled random walkstochastic comparison arguments

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical design (62L05)

Related Items (6)

Active sequential hypothesis testing ⋮ The time until two renewal processes come together ⋮ Bounded deficiency in the comparison of the means of two normal populations ⋮ Three approaches to sequential analysis and one to hidden Markov processes ⋮ Sequential controlled sensing for composite multihypothesis testing ⋮ Second-Order Optimal Sequential Tests

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