# Optimality of index policies for a sequential sampling problem

@article{Castan1999OptimalityOI, title={Optimality of index policies for a sequential sampling problem}, author={David A. Casta{\~n}{\'o}n and Simon Streltsov and Pirooz Vakili}, journal={IEEE Trans. Autom. Control.}, year={1999}, volume={44}, pages={145-148} }

Consider the following sequential sampling problem: at each time, a choice must be made between obtaining an independent sample from one of a set of random reward variables or stopping the sampling. Sampling a random variable incurs a random cost at each time. The objective of the problem is to maximize the expected nett difference between the largest sample reward obtained before stopping and the accumulated costs incurred while sampling. In this paper, the authors prove that the optimal…

## 6 Citations

### Partitioned Random Search for Global Optimization with Sampling Cost and Discounting Factor

- Computer Science
- 2001

A sequential sampling policy for the partitioned random search for global optimization with sampling cost and discounting factor is proposed and a proof of the optimality of the proposed sequential samplingpolicy is given by using the theory of optimal stopping.

### Time constrained optimization

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The optimization problem constrained by the expected time allowed to search for an optimal solution is considered and the optimal sequential sampling policies for the problem formulated assuming that the partitioned random search approaches are applied are derived.

### A Non-myopic Utility Function for Statistical Global Optimization Algorithms

- Computer ScienceJ. Glob. Optim.
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This work proposes using a new utility function that is provably a globally optimal utility function in a non-adaptive context (where the model of the function values remains unchanged) and expects that its use will lead to the improved performance of statistical global optimization algorithms.

### Social welfare maximization in dynamic strategic decision problems

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Deriving effective group decision-making procedures for complex environments is hard but of fundamental importance, and the challenges grow significantly more daunting when individuals are…

### A Web Search Engine-Based Approach to Measure Semantic Similarity between Words

- Computer Science
- 2014

An efficient algorithm for the searching of the similarity of the words using Machine Learning based rule approach is implemented for semantic similarity or semantic relatedness.

### Optimal Sequential Sampling Policy of Partitioned Random Search and Its Approximation

- Mathematics
- 1998

The paper studies the optimal sequential sampling policy of the partitioned random search (PRS) and its approximation. The PRS is a recently proposed approach for function optimization. It takes…

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