The problem of optimal stopping in a partially observable Markov chain |
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Authors: | T. Nakai |
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Affiliation: | (1) Department of Mathematics, College of Integrated Arts and Sciences, University of Osaka Prefecture, Sakai, Osaka, Japan |
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Abstract: | The optimal-stopping problem in a partially observable Markov chain is considered, and this is formulated as a Markov decision process. We treat a multiple stopping problem in this paper. Unlike the classical stopping problem, the current state of the chain is not known directly. Information about the current state is always available from an information process. Several properties about the value and the optimal policy are given. For example, if we add another stop action to thek-stop problem, the increment of the value is decreasing ink.The author wishes to thank Professor M. Sakaguchi of Osaka University for his encouragement and guidance. He also thanks the referees for their careful readings and helpful comments. |
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Keywords: | Optimal stopping problems dynamic programming partially observable Markov chains Bayes' theorem |
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