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International Conference on Knowledge-Based and Intelligent Information and Engineering Systems

KES 2004: Knowledge-Based Intelligent Information and Engineering Systems pp 1201–1207Cite as

When to Stop Range Process – An Expanded State Space Approach

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Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 3214))

Abstract

This paper studies an optimal stopping problem from a view point of reward accumulation. We introduce a new notion of gain process, which is evaluated at stopped state. Some of gain processes are terminal, additive, minimum, range, ratio and sample variance. The former three are simple and the latter are compound. In this paper we discuss the range process. Applying an invariant imbedding approach, we give a recursive formula for optimal value functions and show an optimal stopping rule.

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Author information

Authors and Affiliations

  1. Faculty of Economics, Nagasaki University, Nagasaki, 850-8506, Japan

    Kazuyoshi Tsurusaki

  2. Graduate School of Economics, Kyushu University, Fukuoka, 812-8581, Japan

    Seiichi Iwamoto

Authors
  1. Kazuyoshi Tsurusaki
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  2. Seiichi Iwamoto
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Editor information

Editors and Affiliations

  1. KES International, 2nd Floor, 145-157 St John Street, EC1V 4PY, London, United Kingdom

    Mircea Gh. Negoita

  2. Centre for SMART systems Engineering Research Centre, University of Brighton, BN2 4GJ, Moulsecoomb, Brighton, UK

    Robert J. Howlett

  3. School of Electrical and Information Engineering, Knowledge Based Intelligent Engineering Systems Centre, University of South Australia, Mawson Lakes, 5095, Mawson Lakes, SA, Australia

    Lakhmi C. Jain

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© 2004 Springer-Verlag Berlin Heidelberg

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Tsurusaki, K., Iwamoto, S. (2004). When to Stop Range Process – An Expanded State Space Approach. In: Negoita, M.G., Howlett, R.J., Jain, L.C. (eds) Knowledge-Based Intelligent Information and Engineering Systems. KES 2004. Lecture Notes in Computer Science(), vol 3214. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-30133-2_160

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  • DOI: https://doi.org/10.1007/978-3-540-30133-2_160

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-23206-3

  • Online ISBN: 978-3-540-30133-2

  • eBook Packages: Springer Book Archive

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