Optimal stopping of Markov chains and three abstract optimization problems
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Publication:3108369
DOI10.1080/17442508.2010.514051zbMath1234.60074OpenAlexW1976123137MaRDI QIDQ3108369
Publication date: 3 January 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2010.514051
Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40)
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Cites Work
- Continue, quit, restart probability model
- A generalized Gittins index for a Markov chain and its recursive calculation
- The state reduction and related algorithms and their applications to the study of Markov chains, graph theory, and the optimal stopping problem
- A stochastic representation theorem with applications to optimization and obstacle problems.
- Irreversible decisions under uncertainty. Optimal stopping made easy
- The Multi-Armed Bandit Problem: Decomposition and Computation
- Optimal Sequencing and Resource Allocation in Research and Development Projects
- Index Policies for Stochastic Search in a Forest with an Application to R&D Project Management
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