A Stochastic Sequential Allocation Model.
STANFORD UNIV CALIF DEPT OF STATISTICS
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The following model is considered, and is described in terms of an investment problem. There are D units available for investment. During each of N time periods an opportunity to invest will occur with probability p. As soon as an opportunity presents itself one must decide how much of his available resources to invest. If an amount, y, is invested then an expected profit Py is obtained, where P is a nondecreasing continuous function. The amount y then becomes unavailable for future investment. The problem is to decide how much to invest at each opportunity so as to maximize total expected profit. Modified author abstract
- Economics and Cost Analysis
- Operations Research