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.