Procedimientos de decisión secuenciales generalizados
ISSN: 1137-2141
Year of publication: 1998
Volume: 92
Issue: 4
Pages: 349-355
Type: Article
More publications in: Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales
Abstract
This paper describes the theory of the generalized sequential sampling procedures, and applies it to a stochastic control problem. This generalized procedure provides a sampling rule that determines, according to the avalaible information, to stop or the next sub-sampling size. The article analyzes the problem of the optimal sampling rule in finite and infinity horizon, and studies the particular case of a stationary markovian process.