Numerical Solutions for Bayes Sequential Decision Problems

DOI10.1137/0907003zbMath0598.62102OpenAlexW2029845452MaRDI QIDQ3732794

Herman Chernoff, A. John Petkau

Publication date: 1986

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0907003

zbMATH Keywords

Wiener processfree boundary problemsbackward inductionnormaloptimal stopping problemsNumerical solutionsone-armed bandit problemBayes sequential decision problemssign of the mean of a normal distribution

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Numerical approximation and computational geometry (primarily algorithms) (65D99)

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