StoppingTimeList - Optimal Markov Chain Stopping Time Data Bases
All the data needed and obtained in solving optimal stopping time for Markov chains incompletely observed is stored in a tlist global variable called %StopTime. The number of states and possible observations are supposed to be finite.
The fields Efilt and Cfilt are filled by calling the function
support()
The fields Popt and Copt are filled by the calling to the function
optstop()
// Secretary Problem (4 scretaries) // // Definition of Transition Matrices nbr=2 Obs0=[1 0 0 0;0 0.75 0 0;0 0 0.5 0;0 0 0 0.25] Obs1=[0 0 0 0;0.25 0 0 0;0.25 0.25 0 0;0.25 0.25 0.25 0] Mtrans=tlist(['trans','nbr','y1','y2'],nbr,Obs0,Obs1) // // Cost definitions C0=[1;0;0;0] C1=[-1/10;-1/10;-1/10;-1/10] C=[C0,C1] // // Uniform initial law E0=[0.25 0.25 0.25 0.25] // // 3 bits quantification Eps=3 // // The data bases is a global variable global %StopTime // // Data Bases building %StopTime=tlist(['StopTime','Mtrans','Cout','Einit','Eps','Efilt','MTfilt','Cfilt','Popt','Copt'],.. Mtrans,C,E0,Eps,[],[],[],[],[]) // // Computation of the support of the filter law support() // // Computation of the optimal stopping time and cost optstop()