Optimal Adaptive Policies for Sequential Allocation Problems
نویسندگان
چکیده
p Ž . 0 Ž . Ž . Ž . V u under any policy p in C is equal to nm* u y M u log n q o log n , as n R Ž . Ž . Ž . n a `, where m* u is the largest population mean and M u is a constant. ii Policies in C are asymptotically optimal within a larger class C of ‘‘uniformly R UF 0 p Ž Ž . Ž .. fast convergent’’ policies in the sense that limna ` nm* u y V u r n Ž Ž . pŽ .. Ž . nm* u y V u F 1, for any p g C and any u g Q such that M u ) 0. n UF Policies in C are specified via easily computable indices, defined as unique R Ž . solutions to dual problems that arise naturally from the functional form of M u . In addition, the assumptions are verified for populations specified by nonparametric discrete univariate distributions with finite support. In the case of normal populations with unknown means and variances, we leave as an open problem the verification of one assumption. Q 1996 Academic Press, Inc.
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