Duration problem with multiple exchanges

DOI10.3934/NACO.2012.2.333MaRDI QIDQ450751zbMATH OpenOpenAlexFDO

Authors Mitsushi Tamaki, Charles E. M. Pearce, Krzysztof J. Szajowski

Publication date 14 September 2012

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/0812.3765

zbMATH Keywords

dynamic programmingoptimal stoppingrelative ranksbest-choice problemone-step look ahead rule

Mathematics Subject Classification ID

Special processes (60K99) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Markov and semi-Markov decision processes (90C40)

Abstract: We treat a version of the multiple-choice secretary problem called the multiple-choice duration problem, in which the objective is to maximize the time of possession of relatively best objects. It is shown that, for the $m$--choice duration problem, there exists a sequence (s1,s2,...,sm) of critical numbers such that, whenever there remain k choices yet to be made, then the optimal strategy immediately selects a relatively best object if it appears at or after time $s_k$ ($1leqkleqm$). We also exhibit an equivalence between the duration problem and the classical best-choice secretary problem. A simple recursive formula is given for calculating the critical numbers when the number of objects tends to infinity. Extensions are made to models involving an acquisition or replacement cost.

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Cited in

(7)

• Optimal stopping rule for the no-information duration problem with random horizon
• Shelf life of candidates in the generalized secretary problem
• Duration problem: basic concept and some extensions
• Objectives in the Best-Choice Problems
• On a duration problem with unbounded geometrical horizon
• On the optimal stopping problems with monotone thresholds
• Urn sampling distributions giving alternate correspondences between two optimal stopping problems

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