A Stochastic Sequential Allocation Model.
Abstract
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 P(y), 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.
Document Details
- Document Type
- Technical Report
- Publication Date
- Oct 01, 1974
- Accession Number
- ADA001103
Entities
People
- C. Derman
- G. J. Lieberman
- S. M. Ross
Organizations
- University of California, Berkeley