An optimal sequential procedure for a multiple selling problem with independent observations

Georgy Sofronov

doi:10.1016/j.ejor.2012.09.042

An optimal sequential procedure for a multiple selling problem with independent observations

Georgy Sofronov^*

^*Corresponding author for this work

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

14 Citations (Scopus)

Abstract

We consider a sequential problem of selling K identical assets over the finite time horizon with a fixed number of offers per time period and no recall of past offers. The objective is to find an optimal sequential procedure which maximizes the total expected revenue. In this paper, we derive an effective number of stoppings for an optimal sequential procedure for the selling problem with independent observations.

Original language	English
Pages (from-to)	332-336
Number of pages	5
Journal	European Journal of Operational Research
Volume	225
Issue number	2
DOIs	https://doi.org/10.1016/j.ejor.2012.09.042
Publication status	Published - 1 Mar 2013

Keywords

dynamic programming
sequential decision analysis
optimal stopping
multiple stopping rules
selling problem

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10.1016/j.ejor.2012.09.042

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AB - We consider a sequential problem of selling K identical assets over the finite time horizon with a fixed number of offers per time period and no recall of past offers. The objective is to find an optimal sequential procedure which maximizes the total expected revenue. In this paper, we derive an effective number of stoppings for an optimal sequential procedure for the selling problem with independent observations.

KW - dynamic programming

KW - sequential decision analysis

KW - optimal stopping

KW - multiple stopping rules

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ER -

An optimal sequential procedure for a multiple selling problem with independent observations

Abstract

Keywords

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