A new strategy for Robbins' problem of optimal stopping. (4th April 2017)

• Record Type: Journal Article
• Authors: Meier, Martin; Sögner, Leopold
• Is Part Of: Journal of applied probability. Volume 54:Number 1(2017)
• Page Start: 331
• Page End: 336
• Publication Date: 2017-04-04
• Subjects: Optimal stopping, -- Robbins' problem; Primary 60G40; 519.2
• DOI: 10.1017/jpr.2016.103
• Languages: English
• ISSNs: 0021-9002

Abstract

Abstract: In this paper we study the expected rank problem under full information. Our approach uses the planar Poisson approach from Gnedin (2007) to derive the expected rank of a stopping rule that is one of the simplest nontrivial examples combining rank dependent rules with threshold rules. This rule attains an expected rank lower than the best upper bounds obtained in the literature so far, in particular, we obtain an expected rank of 2.326 14.