72 research outputs found
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An Optimal Acceptance Policy for an Urn Scheme
An urn contains m balls of value -1 and p balls of value +1. At each turn a ball is drawn randomly, without replacement, and the player decides before the draw whether or not to accept the ball, i.e., the bet where the payoff is the value of the ball. The process continues until all m+p balls are drawn. Let V(m,p) denote the value of this acceptance (m,p) urn problem under an optimal acceptance policy. In this paper, we first derive an exact closed form for V(m,p) and then study its properties and asymptotic behavior. We also compare this acceptance (m,p) urn problem with the original (m,p) urn problem which was introduced by Shepp [Ann. Math. Statist., 40 (1969), pp. 993--1010]. Finally, we briefly discuss some applications of this acceptance (m,p) urn problem and introduce a Bayesian approach to this optimal stopping problem. Some numerical illustrations are also provided
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Bandit Problems With Infinitely Many Arms
We consider a bandit problem consisting of a sequence of n choices from an infinite number of Bernoulli arms, with n → ∞. The objective is to minimize the long-run failure rate. The Bernoulli parameters are independent observations from a distribution F. We first assume F to be the uniform distribution on (0, 1) and consider various extensions. In the uniform case we show that the best lower bound for the expected failure proportion is between √2/√n and 2/√n and we exhibit classes of strategies that achieve the latter
A bold strategy is not always optimal in the presence of inflation
A gambler, with an initial fortune less than 1, wants to buy a house which sells today for 1. Due to inflation, the price of the house tomorrow will be 1 + α, where α is a nonnegative constant, and will continue to go up at this rate, becoming (1 + α)
n
on the nth day. Once each day, he can stake any amount of fortune in his possession, but no more than he possesses, on a primitive casino. It is well known that, in a subfair primitive casino without the presence of inflation, the gambler should play boldly. The presence of inflation would motivate the gambler to recognize the time value of his fortune and to try to reach his goal as quickly as possible; intuitively, we would conjecture that the gambler should again play boldly. However, in this note we will show that, unexpectedly, bold play is not necessarily optimal.</jats:p
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