Minimizing the time to a decision
Probability
2011-12-30 v3 Optimization and Control
Abstract
Suppose we have three independent copies of a regular diffusion on with absorbing boundaries. Of these diffusions, either at least two are absorbed at the upper boundary or at least two at the lower boundary. In this way, they determine a majority decision between 0 and 1. We show that the strategy that always runs the diffusion whose value is currently between the other two reveals the majority decision whilst minimizing the total time spent running the processes.
Cite
@article{arxiv.0911.5413,
title = {Minimizing the time to a decision},
author = {Saul Jacka and Jon Warren and Peter Windridge},
journal= {arXiv preprint arXiv:0911.5413},
year = {2011}
}
Comments
Published in at http://dx.doi.org/10.1214/10-AAP737 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)