Optimal Algorithms for the Online Time Series Search Problem

Authors:
Yinfeng Xu;Wenming Zhang;Feifeng Zheng
Affiliations:
School of Management, Xi'an Jiaotong University, Xi'an, China 710049 and The State Key Lab for Manufacturing Systems Engineering, Xi'an, China 710049;School of Management, Xi'an Jiaotong University, Xi'an, China 710049 and The State Key Lab for Manufacturing Systems Engineering, Xi'an, China 710049;School of Management, Xi'an Jiaotong University, Xi'an, China 710049 and The State Key Lab for Manufacturing Systems Engineering, Xi'an, China 710049
Venue:
COCOA '09 Proceedings of the 3rd International Conference on Combinatorial Optimization and Applications
Year:
2009

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Abstract

In the problem of online time series search introduced by El-Yaniv et al. [4], a player observes prices one by one over time and shall select exactly one of the prices on its arrival without the knowledge of future prices, aiming to maximize the selected price. In this paper, we extend the problem by introducing profit function. Considering two cases where the search duration is either known or unknown beforehand, we propose two optimal deterministic algorithms respectively. The models and results in the paper generalize those of El-Yaniv et al. [4].