First, go through the optimal_stopping.pdf section 1 to make sure that you understand the stopping problem and how it maps to a LCP.
Then, go through the new section 2 to make sure I didn't introduce a mistake. It is very simple, as it relies on our discretization of the time-varying diffusion process (which we have hopefully fully tested by this point).
Finally, you will see in continuous_time_methods\matlab\lib\optimal_stopping_diffusion.m an implementation of this method, which relies on the discretization of the linear operators. I wrote up a starting point for the tests in time_varying_optimal_stopping_diffusion_test.m. Make sure that you think this implements what it says it does, and that the code matches the description. At this point, no need to test anything besides the yuval algorithm
First, go through the
optimal_stopping.pdfsection 1 to make sure that you understand the stopping problem and how it maps to a LCP.Then, go through the new section 2 to make sure I didn't introduce a mistake. It is very simple, as it relies on our discretization of the time-varying diffusion process (which we have hopefully fully tested by this point).
Finally, you will see in
continuous_time_methods\matlab\lib\optimal_stopping_diffusion.man implementation of this method, which relies on the discretization of the linear operators. I wrote up a starting point for the tests intime_varying_optimal_stopping_diffusion_test.m. Make sure that you think this implements what it says it does, and that the code matches the description. At this point, no need to test anything besides theyuvalalgorithm