The elimination algorithm for the problem of optimal stopping

MaRDI QIDQ1299925zbMATH OpenFDO

Authors Isaac Sonin

Publication date 25 April 2000

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

zbMATH Keywords

Markov chainoptimal stoppingdiscrete timesecretary problemelimination algorithmsequential analysis discounting

Mathematics Subject Classification ID

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

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• A generalized Gittins index for a Markov chain and its recursive calculation
• On the forward algorithm for stopping problems on continuous-time Markov chains
• An alternative way to solve optimal stopping problems
• scientific article; zbMATH DE number 3995078 (Why is no real title available?)
• On a duration problem with unbounded geometrical horizon
• Solution of optimal stopping problem based on a modification of payoff function
• A model of a 2-player stopping game with priority and asynchronous observation
• A Forward Algorithm for Solving Optimal Stopping Problems
• A new approach to the solution of optimal stopping problem in a discrete time
• Efficient solutions for a class of optimal stopping problems
• On optimal stopping of random sequences modulated by Markov chain
• Parallel computing for Markov chains with islands and ports
• Optimal stopping of seasonal observations and projection of a Markov chain
• Combination of optimal stopping algorithms
• Optimal stopping of Markov chains and three abstract optimization problems

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