Optimal stopping model with unknown transition probabilities

zbMATH Open1318.93102MaRDI QIDQ5501005FDOQ5501005

Authors: Masayuki Horiguchi, A. B. Piunovskiy 

Publication date: 10 August 2015

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zbMATH Keywords

dynamic programmingBayesian methodoptimal stoppingMarkov Decision Process (MDP)unknown transition matrices

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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