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Selecting the Maximum of a Sequence with Imperfect Information
E. G. Enns
Journal of the American Statistical Association
Vol. 70, No. 351 (Sep., 1975), pp. 640-643
Stable URL: http://www.jstor.org/stable/2285947
Page Count: 4
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N independent and identically distributed random variables are sampled sequentially from a known continuous distribution. The information obtained is whether the sampled random variable is greater or less than some level specified by the sampler. The optimal strategy for maximizing the probability of selecting the largest member of the sequence is obtained and tabulated for N ≤ 25. When following the optimal strategy, the expected value of the number sampled is shown to equal N times the probability that the maximum is attained. This remains true for a reduced set of decision levels, provided the reduced set of levels are optimal.
Journal of the American Statistical Association © 1975 American Statistical Association