Letter to the Editor—An Optimal Stopping Rule

Paul Randolph
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Paul Randolph: New Mexico Stale University, Las Cruces, New Mexico

Operations Research, 1967, vol. 15, issue 3, 562-564

Abstract: Suppose the random variables X 1 , X 2 , …, all from the same population, are observed sequentially. After the n th observation, the experimenter can stop and receive the net payoff of c 1 [max( x 1 , x 2 , …, x n )] − nc 2 , where c 1 is the unit value of the maximum and c 2 is the sampling cost. In this paper a rule is given to determine if the experimenter should stop in the n th observation or if he should continue until the ( n + 1)st observation, at which time he is faced with this decision all over again.

Date: 1967
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