Index Policies for Stochastic Search in a Forest with an Application to R&D Project Management

DOI10.1287/moor.1030.0072zbMath1082.90533OpenAlexW2033840796MaRDI QIDQ5704165

Uriel G. Rothblum, Ludo van der Heyden, Eric V. Denardo

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.1030.0072

zbMATH Keywords

stochastic search, forest, multi-armed bandit, exponential utility, project management

Mathematics Subject Classification ID

Related Items (6)

Continue, quit, restart probability model ⋮ Optimal halting policies in Markov population decision chains with constant risk posture ⋮ A generalized Gittins index for a Markov chain and its recursive calculation ⋮ Stochastic scheduling in an in-forest ⋮ Optimal stopping of Markov chains and three abstract optimization problems ⋮ Constant risk aversion in stochastic contests with exponential completion times

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