Mark Gritter (markgritter) wrote,
Mark Gritter
markgritter

Resource allocation problem

Suppose there is a marketplace handling nine different goods. Every half hour the supply and demand of each goods is randomly assigned as either available for selling (i.e, in demand), available for buying, or not available. The selling price of a good is always higher than the buying price, so no trade loses money.

You have only a finite capacity for storing goods. Assuming all goods are equally valuable to trade (buy and sell later), what strategy should you apply to maximize your expected profit? Assume that each of the three states is equally likely.

What about a more general solution? What if the value of the goods differs, so that trading 100 A's is worth 5x as much as trading 100 B's? What if the distribution of states is uneven?
Tags: geek
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