On a quickest detection problem with variable monitoring

1976 ◽  
Vol 13 (4) ◽  
pp. 760-767
Author(s):  
D. W. Balmer
Keyword(s):  
Optimal Stopping ◽  
Optimal Policy ◽  
Necessary Conditions ◽  
Fast Mode ◽  
Optimal Stopping Problem ◽  
Detection Problem ◽  
Quickest Detection ◽  
Necessary Conditions Of Optimality ◽  
And Control ◽  
Monitoring Facility

The problem of detecting the arrival of a ‘disorder' in a process observed through a monitoring facility which may operate in ‘slow’ or ‘fast’ mode, is formulated as an optimal stopping problem. It is shown that in all circumstances where there may exist an optimal policy specifying the mode of observation and the time of stopping there is a unique policy satisfying certain necessary conditions of optimality; the various circumstances and control policies are specified.

On a quickest detection problem with variable monitoring

1976 ◽  
Vol 13 (04) ◽  
pp. 760-767
Author(s):  
D. W. Balmer
Keyword(s):  
Optimal Stopping ◽  
Optimal Policy ◽  
Necessary Conditions ◽  
Fast Mode ◽  
Optimal Stopping Problem ◽  
Detection Problem ◽  
Quickest Detection ◽  
Necessary Conditions Of Optimality ◽  
And Control ◽  
Monitoring Facility

The problem of detecting the arrival of a ‘disorder' in a process observed through a monitoring facility which may operate in ‘slow’ or ‘fast’ mode, is formulated as an optimal stopping problem. It is shown that in all circumstances where there may exist an optimal policy specifying the mode of observation and the time of stopping there is a unique policy satisfying certain necessary conditions of optimality; the various circumstances and control policies are specified.

On a quickest detection problem with costly information

1975 ◽  
Vol 12 (01) ◽  
pp. 87-97 ◽  
Author(s):  
D. W. Balmer
Keyword(s):  
Optimal Stopping ◽  
Necessary Conditions ◽  
Control Policy ◽  
Optimal Stopping Problem ◽  
Detection Problem ◽  
Central Importance ◽  
Quickest Detection ◽  
Necessary Conditions For Optimality ◽  
And Control

Problems of detecting the arrival of a ‘disorder' are of central importance in quality control. One such problem is formulated as an optimal stopping problem in which information about the process to be stopped may be bought at any time. A control policy will involve a determination of times at which information should be bought and of the time at which the process should be stopped. It is shown that in all circumstances there is a unique policy satisfying necessary conditions for optimality; the various circumstances and control policies are specified.

On a quickest detection problem with costly information

1975 ◽  
Vol 12 (1) ◽  
pp. 87-97 ◽  
Author(s):  
D. W. Balmer
Keyword(s):  
Optimal Stopping ◽  
Necessary Conditions ◽  
Control Policy ◽  
Optimal Stopping Problem ◽  
Detection Problem ◽  
Central Importance ◽  
Quickest Detection ◽  
Necessary Conditions For Optimality ◽  
And Control

Problems of detecting the arrival of a ‘disorder' are of central importance in quality control. One such problem is formulated as an optimal stopping problem in which information about the process to be stopped may be bought at any time. A control policy will involve a determination of times at which information should be bought and of the time at which the process should be stopped. It is shown that in all circumstances there is a unique policy satisfying necessary conditions for optimality; the various circumstances and control policies are specified.

scholarly journals On a simple optimal stopping problem

1973 ◽  
Vol 5 (4) ◽  
pp. 297-312 ◽  
Author(s):  
William M. Boyce
Keyword(s):  
Optimal Stopping ◽  
Optimal Stopping Problem

A Note on a Lower Bound for the Multiplicative Odds Theorem of Optimal Stopping

2014 ◽  
Vol 51 (03) ◽  
pp. 885-889 ◽  
Author(s):  
Tomomi Matsui ◽  
Katsunori Ano
Keyword(s):  
Lower Bound ◽  
Optimal Stopping ◽  
Secretary Problem ◽  
Bernoulli Trials ◽  
Optimal Stopping Problem ◽  
Maximum Probability ◽  
Optimal Stopping Rule ◽  
Optimal Probability ◽  
Optimal Stopping Theory ◽  
Special Case

In this note we present a bound of the optimal maximum probability for the multiplicative odds theorem of optimal stopping theory. We deal with an optimal stopping problem that maximizes the probability of stopping on any of the last m successes of a sequence of independent Bernoulli trials of length N, where m and N are predetermined integers satisfying 1 ≤ m < N. This problem is an extension of Bruss' (2000) odds problem. In a previous work, Tamaki (2010) derived an optimal stopping rule. We present a lower bound of the optimal probability. Interestingly, our lower bound is attained using a variation of the well-known secretary problem, which is a special case of the odds problem.

scholarly journals Necessary conditions of optimality for infinite dimensional uncertain systems

1995 ◽  
Vol 1 (3) ◽  
pp. 179-191 ◽  
Author(s):  
N. U. Ahmed ◽  
X. Xiang
Keyword(s):  
Uncertain Systems ◽  
Infinitesimal Generator ◽  
Continuous Semigroup ◽  
Computational Algorithm ◽  
Necessary Conditions ◽  
Reflexive Banach Space ◽  
Linear Operators ◽  
Infinite Dimensional ◽  
Necessary Conditions Of Optimality ◽  
Semigroup Of Linear Operators

In this paper we consider optimal control problem for infinite dimensional uncertain systems. Necessary conditions of optimality are presented under the assumption that the principal operator is the infinitesimal generator of a strongly continuous semigroup of linear operators in a reflexive Banach space. Further, a computational algorithm suitable for computing the optimal policies is also given.

scholarly journals Necessary conditions of optimality in quasilinear systems with delays

PAMM ◽  
2008 ◽  
Vol 8 (1) ◽  
pp. 10871-10872
Author(s):  
M. Tsintsadze ◽  
Z. Tsintsadze
Keyword(s):  
Necessary Conditions ◽  
Necessary Conditions Of Optimality ◽  
Quasilinear Systems
Sign in / Sign up

Export Citation Format

Share Document