Optimal stopping and Gittins' indices for piecewise deterministic evolution processes (Q5943167)

From MaRDI portal
Revision as of 22:37, 21 December 2023 by Importer (talk | contribs) (‎Created a new Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article; zbMATH DE number 1642491
Language Label Description Also known as
English
Optimal stopping and Gittins' indices for piecewise deterministic evolution processes
scientific article; zbMATH DE number 1642491

    Statements

    Optimal stopping and Gittins' indices for piecewise deterministic evolution processes (English)
    0 references
    0 references
    0 references
    21 April 2002
    0 references
    The authors study the optimal stopping problem for a class of continuous time random evolutions described by stochastic differential equations with alternating renewal processes as noise sources. The exact solution of this stopping problem provides, in explicit form, an expression for the Gittins' indices needed to derive the optimal scheduling of a class of multi-armed bandit problems in continuous time. The underlying random processes to which the bandits' arms obey are random velocity models. Such processes are commonly used to describe, in the fluid limit, the random production flows delivered by failure prone machines.
    0 references
    optimal stopping
    0 references
    continuous time Gittins' indices
    0 references
    dynamic allocation
    0 references
    piecewise deterministic processes
    0 references

    Identifiers