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Nonparametric estimation of a renewal reward process from discrete data
Renewal reward process Continuous time random walk Com-pound Poisson process Discretely observed random process Wavelet density estimation.
2012/9/19
We study the nonparametric estimation of the jump density of a re-newal reward process from one discretely observed sample path over [0;T].We consider the regime when the sampling rate = T !0 asT!1...
Some results on the Gittins index for a normal reward process
Chernoff’s continuity correction dynamic allocation index multiarmed bandit optimal stopping Brownian motion
2010/4/27
We consider the Gittins index for a normal distribution with unknown
mean and known variance where has a normal prior. In addition
to presenting some monotonicity properties of the Gittins index...