Bayes' Model of the Best-Choice Problem with Disorder

Vladimir Mazalov and Evgeny Ivashko

International Journal of Stochastic Analysis, 2012, vol. 2012, 1-8

Abstract:

We consider the best-choice problem with disorder and imperfect observation. The decision-maker observes sequentially a known number of i.i.d random variables from a known distribution with the object of choosing the largest. At the random time the distribution law of observations is changed. The random variables cannot be perfectly observed. Each time a random variable is sampled the decision-maker is informed only whether it is greater than or less than some level specified by him. The decision-maker can choose at most one of the observation. The optimal rule is derived in the class of Bayes' strategies.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:697458

DOI: 10.1155/2012/697458

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