Abstract
In the Dubins and Savage theory of gambling, backward induction provides an algorithm for calculating the optimal return when the gambling problem is leavable. A relatively new algorithm works for nonleavable problems. We show that these algorithms converge geometrically fast for finite gambling problems. Our argument also provides a much simpler proof of convergence for the nonleavable case.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 568-575 |
| Number of pages | 8 |
| Journal | Mathematics of Operations Research |
| Volume | 23 |
| Issue number | 3 |
| DOIs | |
| State | Published - Jan 1 1998 |
Keywords
- Algorithm
- Finite gambling problem
- Geometric convergence
ASJC Scopus subject areas
- Mathematics(all)
- Computer Science Applications
- Management Science and Operations Research
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Cite this
Ramakrishnan, S., & Sudderth, W. (1998). Geometric convergence of algorithms in gambling theory. Mathematics of Operations Research, 23(3), 568-575. https://doi.org/10.1287/moor.23.3.568