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The Elimination algorithm for the problem of optimal stopping

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  • Isaac Sonin

Abstract

We present a new algorithm for solving the optimal stopping problem. The algorithm is based on the idea of elimination of states where stopping is nonoptimal and the corresponding correction of transition probabilities. The formal justification of this method is given by one of two presented theorems. The other theorem describes the situation when an aggregation of states is possible in the optimal stopping problem. Copyright Springer-Verlag Berlin Heidelberg 1999

Suggested Citation

  • Isaac Sonin, 1999. "The Elimination algorithm for the problem of optimal stopping," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 49(1), pages 111-123, March.
    • Handle: RePEc:spr:mathme:v:49:y:1999:i:1:p:111-123
    DOI: 10.1007/PL00020910
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    Citations

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    Cited by:

    1. Isaac M. Sonin & Constantine Steinberg, 2016. "Continue, quit, restart probability model," Annals of Operations Research, Springer, vol. 241(1), pages 295-318, June.
    2. Amod J. Basnet & Isaac M. Sonin, 2022. "Parallel computing for Markov chains with islands and ports," Annals of Operations Research, Springer, vol. 317(2), pages 335-352, October.
    3. Soren Christensen & Albrecht Irle & Julian Peter Lemburg, 2021. "Flexible forward improvement iteration for infinite time horizon Markovian optimal stopping problems," Papers 2111.13443, arXiv.org.
    4. D. Ramsey, 2007. "A model of a 2-player stopping game with priority and asynchronous observation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(1), pages 149-164, August.
    5. José Niño-Mora, 2007. "A (2/3) n 3 Fast-Pivoting Algorithm for the Gittins Index and Optimal Stopping of a Markov Chain," INFORMS Journal on Computing, INFORMS, vol. 19(4), pages 596-606, November.
    6. Sonin, Isaac M., 2008. "A generalized Gittins index for a Markov chain and its recursive calculation," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1526-1533, September.
    7. Miclo, Laurent & Villeneuve, Stéphane, 2019. "On the forward algorithm for stopping problems on continuous-time Markov chains," TSE Working Papers 19-1009, Toulouse School of Economics (TSE).

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