The Elimination algorithm for the problem of optimal stopping

Isaac Sonin

Mathematical Methods of Operations Research, 1999, vol. 49, issue 1, 123 pages

Abstract: We present a new algorithm for solving the optimal stopping problem. The algorithm is based on the idea of elimination of states where stopping is nonoptimal and the corresponding correction of transition probabilities. The formal justification of this method is given by one of two presented theorems. The other theorem describes the situation when an aggregation of states is possible in the optimal stopping problem. Copyright Springer-Verlag Berlin Heidelberg 1999

Keywords: Key words: Markov chain; optimal stopping; the elimination algorithm; the state reduction approach; secretary problem (search for similar items in EconPapers)
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://hdl.handle.net/10.1007/PL00020910 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:49:y:1999:i:1:p:111-123

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/00186

DOI: 10.1007/PL00020910

Access Statistics for this article

Mathematical Methods of Operations Research is currently edited by Oliver Stein

More articles in Mathematical Methods of Operations Research from Springer, Gesellschaft für Operations Research (GOR), Nederlands Genootschap voor Besliskunde (NGB)
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().