public class GamblersRuin
extends Object
This problem is taken from W. L. Winston, Operations Research: Applications and Algorithms (7th Edition), Duxbury Press, 2003,
chap. 19, example 3.
A gambler has $initialWealth
. She is allowed to play a game of chance over a given betHorizon
, and her goal is to
maximize her probability of ending up with a least $targetWealth
.
If the gambler bets $b on a play of the game, then with probability p, she wins the game and increases her capital position by $b;
with probability (1-p), she loses the game and decreases her capital by $b.
On any play of the game, the gambler may not bet more money than she has available.
Determine a betting strategy that will maximize the gambler's probability of attaining a wealth of at least $targetWealth
by the end of the betting horizon.
- Author:
- Roberto Rossi