A Stochastic Sequential Allocation Model.
CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER
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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, a decision must be made on how much of the available resources to invest. If 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.
- Economics and Cost Analysis
- Operations Research