Numerical Solutions for Bayes Sequential Decision Problems

DOI10.1137/0907003MaRDI QIDQ3732794zbMATH OpenOpenAlexFDO

Authors 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 problemsoptimal stopping problemsbackward inductionnormalNumerical solutionsone-armed bandit problemBayes sequential decision problemssign of the mean of a normal distribution

Mathematics Subject Classification ID

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

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Cited in

(14)

• Truncated sequential medical trials involving paired data
• Corrected random walk approximations to free boundary problems in optimal stopping
• A Decision Model for a Sequential Testing Problem in civil Engineering
• On approximation of optimal stopping of Bayesian sequential test for a normal mean
• Optimally stopping the sample mean of a Wiener process with an unknown drift
• ASYMPTOTIC OPTIMALITY OF GENERALIZED SEQUENTIAL LIKELIHOOD RATIO TESTS IN SOME CLASSICAL SEQUENTIAL TESTING PROBLEMS*
• Local information and the design of sequential hypothesis tests
• Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
• Anscombe's model for sequential clinical trials revisited
• Boundary crossing optimal stopping and optimal bayesian sequential declsion procedures
• Bayes optimal sequential trial designs
• Evaluation of asymptotic approximations for a two-stage Bernoulli bandit
• scientific article; zbMATH DE number 1979781 (Why is no real title available?)
• Optimal learning and experimentation in bandit problems.

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