Asymptotics of the optimum in discrete sequential assignment

Antal A. Járai

Stochastic Processes and their Applications, 2022, vol. 148, issue C, 267-277

Abstract: We consider the stochastic sequential assignment problem of Derman et al. (1972) corresponding to a discrete distribution supported on a finite set of points. We use large deviation estimates to compute the asymptotics of the optimal policy as the number of tasks N→∞.

Keywords: Stochastic sequential assignment; Optimal policy; Large deviation; Martingale (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spa.2022.02.011

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