Efficient solutions for a class of optimal stopping problems

被引：1
|
作者：
Shechter, Steven M. [1 ]
机构：
[1] Univ British Columbia, Operat & Logist Div, Sauder Sch Business, Vancouver, BC V6T 1Z2, Canada
来源：
OPERATIONS RESEARCH LETTERS | 2012年 / 40卷 / 05期
关键词：
Optimal stopping problems; Markov decision processes; Solution algorithms;
D O I：
10.1016/j.orl.2012.05.005
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We show that a practical class of optimal stopping problems can be solved in at most N iterations of policy iteration. Under a lower triangularity assumption, one iteration of Gauss-Seidel value iteration yields the solution, while a subadditivity assumption implies an optimal control limit policy and an O(log N) algorithm. (C) 2012 Elsevier B.V. All rights reserved.
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页码：409 / 410
页数：2
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