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The optimal value of markov stopping problems with one-step look ahead policy

Published online by Cambridge University Press:  14 July 2016

Masami Yasuda
Masami Yasuda*
Affiliation:
Chiba University
*
∗ Postal address: College of General Education, Chiba University, Chiba, 260 Japan.
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Abstract

This paper treats stopping problems on Markov chains in which the OLA (one-step look ahead) policy is optimal. Its associated optimal value can be explicitly expressed by a potential for a charge function of the difference between the immediate reward and the one-step-after reward. As an application to the best choice problem, we shall obtain the value of three problems: the classical secretary problem, a problem with a refusal probability and a problem with a random number of objects.

Keywords

OPTIMAL STOPPING PROBLEMMARKOV POTENTIAL THEORY
Type
Research Papers
Information
Journal of Applied Probability , Volume 25 , Issue 3 , September 1988 , pp. 544 - 552
Copyright
Copyright © Applied Probability Trust 1988 

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