Evaluating optimal stopping rules in the multiple best choice problem using the cross-entropy method

Georgy Yu Sofronov*, Tatiana V. Polushina

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

1 Citation (Scopus)

Abstract

Best choice problems can be considered one of the most interesting problems of sequential decision analysis. Problems of this type can arise in a wide variety of fields, including psychological, economical, and ecological applications. In this study, we consider a generalization of the best choice problem when it is possible to make more than one choice. We use the Cross-Entropy method to determine the optimal stopping rules and the value of a game. We include results of numerical experiments illustrating the effectiveness of the approach. We obtain estimates of the thresholds in the optimal stopping rules and compare the accuracy of these estimates with those obtained via asymptotic approximation.

Original languageEnglish
Title of host publicationIASTED Multiconferences - Proceedings of the IASTED International Conference on Modelling, Identification and Control, MIC 2013
EditorsE. P. Klement, W. Borutzky, M. H. Hamza, V. Uskov
Place of PublicationCalgary, AB
PublisherACTA Press
Pages205-212
Number of pages8
ISBN (Print)9780889869431, 9780889869554
DOIs
Publication statusPublished - 2013
Event32nd IASTED International Conference on Modelling, Identification and Control, MIC 2013 - Innsbruck, Austria
Duration: 11 Feb 201313 Feb 2013

Other

Other32nd IASTED International Conference on Modelling, Identification and Control, MIC 2013
CountryAustria
CityInnsbruck
Period11/02/1313/02/13

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