On optimal stopping problems with full information and rank-dependent reward
Alexander Goldenshluger, Yaakov Malinovsky
Source abstract
In this paper we consider optimal stopping problems with full information and rank-dependent rewards. Our focus is on the following two problems: selecting one of the r best observations (Gusein-Zade's problem with full information) and minimizing the expected rank (Robbins' problem). In both settings we provide full characterization of the optimal stopping rules and corresponding optimal values. We also present numerical experiments in which the derived dynamic programming recursions are implemented, and approximations to optimal values are computed.
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