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optimal stopping problem

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  • Optimal stopping — In mathematics, the theory of optimal stopping is concerned with the problem of choosing a time to take a particular action, in order to maximise an expected reward or minimise an expected cost. Optimal stopping problems can be found in areas of… …   Wikipedia

  • Robbins' problem (of optimal stopping) — is a problem of optimal stopping, sometimes referred to as the fourth secretary problem or the problem of minimizing the expected rank with full information. Its statement is as follows. Let X 1, ... , X n be independent, identically distributed… …   Wikipedia

  • Stopping time — Example of a stopping time: a hitting time of Brownian motion In probability theory, in particular in the study of stochastic processes, a stopping time (also Markov time) is a specific type of “random time”. The theory of stopping rules and… …   Wikipedia

  • Secretary problem — The secretary problem is an optimal stopping problem that has been studied extensively in the fields of applied probability, statistics, and decision theory. It is also known as the marriage problem, the sultan s dowry problem, the fussy suitor… …   Wikipedia

  • Obstacle problem — The obstacle problem is a classic motivating example in the mathematical study of variational inequalities and free boundary problems. The problem is to find the equilibrium position of an elastic membrane whose boundary is held fixed, and which… …   Wikipedia

  • Disorder problem — In the study of stochastic processes in mathematics, a disorder problem (or quickest detection problem) has been formulated by Kolmogorov. Specifically, the problem is use ongoing observations on a stochastic process to decide whether or not to… …   Wikipedia

  • Backward induction — is the process of reasoning backwards in time, from the end of a problem or situation, to determine a sequence of optimal actions. It proceeds by first considering the last time a decision might be made and choosing what to do in any situation at …   Wikipedia

  • Odds algorithm — The odds algorithm is a mathematical method for computing optimal strategies for a class of problems that belong to the domain of optimal stopping problems. Their solution follows from the odds strategy, and the importance of the odds strategy… …   Wikipedia

  • List of numerical analysis topics — This is a list of numerical analysis topics, by Wikipedia page. Contents 1 General 2 Error 3 Elementary and special functions 4 Numerical linear algebra …   Wikipedia

  • List of mathematics articles (O) — NOTOC O O minimal theory O Nan group O(n) Obelus Oberwolfach Prize Object of the mind Object theory Oblate spheroid Oblate spheroidal coordinates Oblique projection Oblique reflection Observability Observability Gramian Observable subgroup… …   Wikipedia

  • Multi-armed bandit — A multi armed bandit is like a slot machine with multiple levers. In statistics, particularly in the design of sequential experiments, a multi armed bandit takes its name from a traditional slot machine (one armed bandit). Multiple levers are… …   Wikipedia

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