Asymptotics of the optimum in discrete sequential assignment

Antal A. Jarai

doi:10.1016/j.spa.2022.02.011

Asymptotics of the optimum in discrete sequential assignment

Research output: Contribution to journal › Article › peer-review

Abstract

We consider the stochastic sequential assignment problem of Derman et al. (1972) corresponding to a discrete distribution supported on a finite set of points. We use large deviation estimates to compute the asymptotics of the optimal policy as the number of tasks N→∞.

Original language	English
Pages (from-to)	267-277
Number of pages	11
Journal	Stochastic Processes and their Applications
Volume	148
Early online date	3 Mar 2022
DOIs	https://doi.org/10.1016/j.spa.2022.02.011
Publication status	Published - 30 Jun 2022

Bibliographical note

Funding Information:
Research was supported by the University of Bath, United Kingdom .

Keywords

Large deviation
Martingale
Optimal policy
Stochastic sequential assignment

ASJC Scopus subject areas

Statistics and Probability
Modelling and Simulation
Applied Mathematics

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10.1016/j.spa.2022.02.011Licence: CC BY

https://arxiv.org/abs/1912.06419

Cite this

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title = "Asymptotics of the optimum in discrete sequential assignment",

abstract = "We consider the stochastic sequential assignment problem of Derman et al. (1972) corresponding to a discrete distribution supported on a finite set of points. We use large deviation estimates to compute the asymptotics of the optimal policy as the number of tasks N→∞.",

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AB - We consider the stochastic sequential assignment problem of Derman et al. (1972) corresponding to a discrete distribution supported on a finite set of points. We use large deviation estimates to compute the asymptotics of the optimal policy as the number of tasks N→∞.

KW - Large deviation

KW - Martingale

KW - Optimal policy

KW - Stochastic sequential assignment

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DO - 10.1016/j.spa.2022.02.011

M3 - Article

SN - 0304-4149

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JO - Stochastic Processes and their Applications

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ER -

Asymptotics of the optimum in discrete sequential assignment

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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