The invariant optimal sampling plan in a sequentially planned decision procedure. Issue 2 (3rd April 2017)

• Record Type: Journal Article
• Authors: Fenoy, M. Mar
• Is Part Of: Sequential analysis. Volume 36:Issue 2(2017)
• Page Start: 194
• Page End: 209
• Publication Date: 2017-04-03
• Subjects: Invariant sequentially planned procedure -- sampling plan -- transitivity; 62L10 -- 60G40; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2017.1319680
• Languages: English
• ISSNs: 0747-4946

Abstract

ABSTRACT: We define the invariant sequentially planned decision procedure under a group of measurable transformations. By means of a previous reduction of the problem, we obtain the optimal invariant sequentially planned decision procedure that minimizes the risk function. First we find the solution for the horizon with a maximal number of stages, based on the present information; later, the general case is solved but the solution is based on the past information. Finally, we study the possibility of approximating the general case by a sequence of truncated problems with a maximal number of stages, obtaining a solution based on the present information.