A Unified Approach for Solving Sequential Selection Problems
Links to Fileshttps://arxiv.org/abs/1901.04183
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Type of Work32 pages
journal articles preprints
Citation of Original PublicationAlexander Goldenshluger, Yaakov Malinovsky, Assaf Zeevi, A Unified Approach for Solving Sequential Selection Problems, Probability , 2019, https://arxiv.org/abs/1901.04183
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In this paper we develop a unified approach for solving a wide class of sequential selection problems. This class includes, but is not limited to, selection problems with no–information, rank–dependent rewards, and considers both fixed as well as random problem horizons. The proposed framework is based on a reduction of the original selection problem to one of optimal stopping for a sequence of judiciously constructed independent random variables. We demonstrate that our approach allows exact and efficient computation of optimal policies and various performance metrics thereof for a variety of sequential selection problems, several of which have not been solved to date.