Physical Sciences and Mathematics Commons^™

Optimal Policy For Sequential Stochastic Resource Allocation, Kalyanam Krishnamoorthy, Meir Pachter, David W. Casbeer

Faculty Publications

A gambler in possession of R chips/coins is allowed N(>R) pulls/trials at a slot machine. Upon pulling the arm, the slot machine realizes a random state i ɛ{1, ..., M} with probability p(i) and the corresponding positive monetary reward g(i) is presented to the gambler. The gambler can accept the reward by inserting a coin in the machine. However, the dilemma facing the gambler is whether to spend the coin or keep it in reserve hoping to pick up a greater reward in the future. We assume that the gambler has full knowledge of the reward distribution function. We …