A sequential estimation problem with control and discretionary stopping

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2021-10-27 DOI:10.3934/puqr.2022011

Erik Ekstrom, I. Karatzas

引用次数: 1

Abstract

We show that “full-bang” control is optimal in a problem which combines features of (i) sequential least-squares estimation with Bayesian updating, for a random quantity observed in a bath of white noise; (ii) bounded control of the rate at which observations are received, with a superquadratic cost per unit time; and (iii) “fast” discretionary stopping. We develop also the optimal filtering and stopping rules in this context.

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具有控制和任意停止的序列估计问题

我们表明，对于在白噪声中观察到的随机量，“全爆炸”控制在结合了(i)顺序最小二乘估计和贝叶斯更新特征的问题中是最优的;(ii)以单位时间的超二次代价对观测值的接收速率进行有界控制;(iii)“快速”任意停车。在这种情况下，我们还开发了最优过滤和停止规则。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.

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