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Sequential decision processes with essential unobservables

Published online by Cambridge University Press:  01 July 2016

P. Whittle
P. Whittle*
Affiliation:
University of Cambridge
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Abstract

We consider sequential decision processes in which the posterior distribution of some unobservable must be included among the sufficient statistics. The technique of an earlier paper (Whittle (1964)) is applied to show that the residual loss function is necessarily homogeneous of degree one in this distribution, if certain conventions are adopted. This point leads to considerable simplification. Examples are given of the great variety of problems which can advantageously be formulated in this manner.

Type
Research Article
Information
Advances in Applied Probability , Volume 1 , Issue 2 , Autumn 1969 , pp. 271 - 287
Copyright
Copyright © Applied Probability Trust 

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