Dynamic programming by exchangeability

Dynamic programming by exchangeability

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Article ID: iaor19881208
Country: United States
Volume: 18
Issue: 3
Start Page Number: 463
End Page Number: 472
Publication Date: Jun 1989
Journal: SIAM Journal On Control and Optimization
Authors:
Keywords: scheduling, programming: markov decision
Abstract:

This article introduces the concept of exchangeable stopping time and a technique of dynamic programming based upon this concept for fast computation of the expected value of a payoff function upon stopping. One instance of an exchangeable stopping time is when a stopping time is defined by a threshold on the sequential sum of the process. Another instance is when a stopping time is defined by the occurrence of given patterns in observed values of the process. This new computation technique has applications in bin packing, casino black jack, and random drawing for patterns.

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