The full-information best-choice problem with uniform or gamma horizons

Michael Bendersky; Israel David

doi:10.1080/02331934.2015.1080253

The full-information best-choice problem with uniform or gamma horizons

Michael Bendersky, Israel David

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

A decision-maker has to choose one from among a Poisson stream of i.i.d. bids, with no recall. The stream stops at a random time with a uniform (in the first case) or Erlang (in the second case) distribution. We solve the problem explicitly for maximal expected gain for bids that may take on any finite number of values. A fast procedure to solve the problem for fixed horizon is presented as well.

Original language	English
Pages (from-to)	765-778
Number of pages	14
Journal	Optimization
Volume	65
Issue number	4
DOIs	https://doi.org/10.1080/02331934.2015.1080253
State	Published - 2 Apr 2016
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2015 Taylor & Francis.

Keywords

dynamic programming
fixed horizon
full-information secretary problems
random horizon

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10.1080/02331934.2015.1080253

Cite this

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The full-information best-choice problem with uniform or gamma horizons

Abstract

Bibliographical note

Keywords

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