Results 11 to 20 of about 342,776 (277)
Two-choice optimal stopping [PDF]
Advances in Applied Probability, 2004 Let Xn,…,X1 be independent, identically distributed (i.i.d.) random variables with distribution function F. A statistician, knowing F, observes the X values sequentially and is given two chances to choose Xs using stopping rules. The statistician's goal is to stop at a value of X as small as possible.
David Assaf +2 more
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The Perils of Misspecified Priors and Optional Stopping in Multi-Armed Bandits
Frontiers in Artificial Intelligence, 2021 The connection between optimal stopping times of American Options and multi-armed bandits is the subject of active research. This article investigates the effects of optional stopping in a particular class of multi-armed bandit experiments, which ...
Markus Loecher
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Optimal double stopping time [PDF]
, 2009 We consider the optimal double stopping time problem defined for each stopping time $S$ by $v(S)=\esssup\{E[\psi(\tau_1, \tau_2) | \F_S], \tau_1, \tau_2 \geq S \}$.
Kobylanski, Magdalena +2 more
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Optimally Stopped Optimization
Physical Review Applied, 2016 We combine the fields of heuristic optimization and optimal stopping. We propose a strategy for benchmarking randomized optimization algorithms that minimizes the expected total cost for obtaining a good solution with an optimal number of calls to the solver.
Vinci, Walter, Lidar, Daniel A.
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A class of recursive optimal stopping problems with applications to stock trading [PDF]
, 2020 In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself.
Colaneri, Katia, De Angelis, Tiziano
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Optimal Stopping Under Ambiguity [PDF]
SSRN Electronic Journal, 2006 We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors.
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On the value of optimal stopping games [PDF]
, 2006 We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer.
Ekstrom, Erik +2 more
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An Energy-Aware Transmission Target Selection Mechanism for UAV Networking
IEEE Access, 2019 The energy consumption of transmitting data during the process of UAVs co-execution task affects the performance of the UAV CPU and the quality of the task accomplished. In order to reduce the energy consumption of data transmission in UAV networks, this
Jiehong Wu +4 more
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Optimal Stopping under Nonlinear Expectation [PDF]
, 2013 Let $X$ be a bounded c\`adl\`ag process with positive jumps defined on the canonical space of continuous paths. We consider the problem of optimal stopping the process $X$ under a nonlinear expectation operator $\cE$ defined as the supremum of ...
Ekren, Ibrahim +2 more
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Distribution‐constrained optimal stopping
Mathematical Finance, 2018 AbstractWe solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely many atoms. In particular, we show that this problem can be converted to a finite sequence of state‐constrained optimal control problems with additional states corresponding to ...
Bayraktar, Erhan, Miller, Christopher W.
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