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A cross-entropy method optimal stopping problems

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posted on 2022-03-28, 11:17 authored by Thilini Dulanjali Kularatne
There are frequent situations when observations are recorded consecutively over a period of time, for an example, daily values of currency exchange rates. Sequential observations appear one by one, so data are analysed as they are collected without fixing the sample size in advance. Further sampling may be terminated according to a pre-defined stopping rule. There are situations where we need to make decisions considering the observations which are already having while future observations are not known yet. Sequential data analysis has a variety of applications in a wide range of fields including industrial quality control, econometrics, analysis of financial systems among many others. In this thesis, we develop several versions of a Cross-Entropy method to find an approximate optimal stopping rule. Here we have considered cases of both independent and dependent observations. We have carried out a simulation study., which has shown the accuracy of the proposed algorithm.


Table of Contents

1. Introduction -- 2. Literature review -- 3. Theory and methodology -- 4. Simulation study -- 5. Discussion and future research.


Empirical thesis. Bibliography: pages 57-63

Awarding Institution

Macquarie University

Degree Type

Thesis MRes


MRes, Macquarie University, Faculty of Science and Engineering, Department of Mathematics and Statistics

Department, Centre or School

Department of Mathematics and Statistics

Year of Award


Principal Supervisor

Georgy Sofronov


Copyright Thilini Dulanjali Kularatne 2017. Copyright disclaimer:




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