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Observations on a result in sequential analysis by P. Whittle

Published online by Cambridge University Press:  14 July 2016

J. C. Gittins
J. C. Gittins*
Affiliation:
University of Cambridge
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Abstract

In a series of papers Whittle has proposed locating the optimal boundary between the continuation region and the stopping region, in the no-overshoot approximation, for a class of sequential analysis problems by using the criterion that the gradient of the objective function must be continuous at the boundary. It is shown here that the result originally proposed by Whittle is not true in the generality which he supposed, and an indication is given of some of the circumstances in which it does hold.

Keywords

SEQUENTIAL DESIGNFREE BOUNDARY PROBLEMNO-OVERSHOOT APPROXIMATIONSTOPPING RULE
Type
Short Communications
Information
Journal of Applied Probability , Volume 10 , Issue 2 , June 1973 , pp. 456 - 460
Copyright
Copyright © Applied Probability Trust 1973 

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References

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