Optimal stopping and dynamic allocation

DOI10.2307/1427104MaRDI QIDQ3779527zbMATH OpenOpenAlexFDO

Authors Fu Chang, Tze Leung Lai

Publication date 1987

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427104

zbMATH Keywords

Gittins index for a Wiener processoptimal dynamic allocationoptimal stopping problemsstopping boundaries

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(20)

• Optimally stopping the sample mean of a Wiener process with an unknown drift
• The learning component of dynamic allocation indices
• Optimal learning and experimentation in bandit problems.
• On Bayesian index policies for sequential resource allocation
• Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
• Gittins' theorem under uncertainty
• Bandit and covariate processes, with finite or non-denumerable set of arms
• The multi-armed bandit problem: an efficient nonparametric solution
• Infomax strategies for an optimal balance between exploration and exploitation
• scientific article; zbMATH DE number 3850855 (Why is no real title available?)
• Kullback-Leibler upper confidence bounds for optimal sequential allocation
• Technical note -- A note on the equivalence of upper confidence bounds and Gittins indices for patient agents
• Optimistic Gittins Indices
• MULTI-ARMED BANDITS WITH COVARIATES:THEORY AND APPLICATIONS
• Monotone stopping-allocation problems
• Multi-armed bandits under general depreciation and commitment
• Equilibrium compound distributions and stop-loss moments
• Optimal stopping and Gittins' indices for piecewise deterministic evolution processes
• Dynamic optimality in optimal variance stopping problems
• Optimal learning with a local parametric belief model

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