Optimal stopping of Markov chains and three abstract optimization problems

DOI10.1080/17442508.2010.514051zbMath1234.60074OpenAlexW1976123137MaRDI QIDQ3108369

Isaac M. Sonin

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

zbMATH Keywords

optimal stoppingMarkov chainGittins indexthe elimination algorithm

Mathematics Subject Classification ID

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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