Monitoring with Limited Information

Sometimes a decision maker must choose when to stop a treatment or trade while being able to observe its state only a few times. We develop a robust-optimization approach that jointly chooses when to monitor and when to stop. Under certain conditions, fixed monitoring times achieve the same worst-case reward as fully adaptive ones, making the dynamic policy much easier to compute. Applied to monitoring heart-transplant patients, the approach substantially improves on current recommendations.

Management Science, vol. 67, no. 7, pp. 4233–4251