On infinite horizon optimal stopping of general random walk.
Jukka LempaPublished in: Math. Methods Oper. Res. (2008)
Keyphrases
- random walk
- finite horizon
- optimal stopping
- infinite horizon
- optimal policy
- markov chain
- markov decision processes
- optimal control
- long run
- special case
- transition probabilities
- markov decision process
- stationary distribution
- dynamic programming
- multistage
- production planning
- state space
- lead time
- average cost
- decision problems