Combination of optimal stopping algorithms

MaRDI QIDQ2818194zbMATH OpenFDO

Authors Marek Skarupski

Publication date 6 September 2016

Published in Scientiae Mathematicae Japonicae (Search for Journal in Brave)

Full work available at URL http://www.jams.or.jp/scm/abstract/e-2015/abst2015-40.pdf, http://www.jams.or.jp/scm/contents/e-2015-4/2015-40.pdf

zbMATH Keywords

elimination algorithmMarkov chainmonotone prolemodds algorithmoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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(5)

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• On a duration problem with unbounded geometrical horizon
• The odds algorithm based on sequential updating and its performance
• A new learning algorithm for optimal stopping
• Optimal stopping made easy

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