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Optimal Stopping of a Random Sequence with Unknown Distribution

The subject of this paper is the problem of optimal stopping of a sequence of independent and identically distributed random variables with unknown distribution. We propose a stopping rule that is based on relative ranks and study its performance as measured by the maximal relative regret over suitable nonparametric classes of distributions. It is shown that the proposed rule is first-order asymptotically optimal and nearly rate optimal in terms of the rate at which the relative regret converges to zero. We also develop a general method for numerical solution of sequential stopping problems with no distributional information and use it in order to implement the proposed stopping rule. Some numerical experiments illustrating performance of the rule are presented as well.

Ketersediaan

Informasi Detail

Judul Seri

MATHEMATICS OF OPERATIONS RESEARCH; Vol.47 No.1 February 2022

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 29-49

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

OPTIMAL STOPPING
MINIMAX REGRET
SECRETARY PROBLEMS
EXTREME-VALUE DISTRIBUTIONS
RELATIVE RANKS
NO INFORMATION

Info Detail Spesifik

https://doi.org/10.1287/moor.2020.1109

Pernyataan Tanggungjawab

Alexander Goldenshluger, Assaf Zeevi

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