Embedding optimal selection problems in a Poisson process

DOI10.1016/0304-4149(91)90094-SMaRDI QIDQ1177212zbMATH OpenFDO

Authors L. C. G. Rogers, F. Thomas Bruss

Publication date 26 June 1992

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(91)90094-S

zbMATH Keywords

martingalesoptimal policyplanar Poisson processsecretary problemstochastic calculus

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Review text

A version of the classical ``secretary problem is considered, where the number \(N\) of candidates available is a random variable. The \(N\) candidates arrive at times which are independent and uniformly distributed on \((0,1)\), and the objective is to minimize a loss which is a non-decreasing function of the ranks of the candidates. This problem has been variously studied by \textit{J. Gianini} and \textit{S. M. Samuels} [Ann. Probab. 4, 418-432 (1976; Zbl 0341.60033)], by \textit{R. Cowan} and \textit{J. Zabczyk} [Theory Probab. Appl. 23, 584-592 (1979); reprinted from Teor. Veroyatn. Primen. 23, 606-614 (1978; Zbl 0396.62063)], by \textit{W. J. Stewart} [Applied probability -- computer science: the interface, Proc. Meet., Boca Raton/FL 1981, Vol. 1, Prog. Comput. Sci. 2, 275-296 (1982; Zbl 0642.60075)], and by \textit{F. T. Bruss} [Ann. Probab. 12, 882- 889 (1984; Zbl 0553.60047)] and \textit{F. T. Bruss} and \textit{S. M. Samuels} [ibid. 15, 824-830 (1987; Zbl 0592.60034)]. The main contribution of this paper is to show that by imbedding the process in a Poisson process it is possible to obtain all the distributional results necessary to obtain the optimal policy. The special case where \(N\) is geometrically distributed is particularly simple, and the optimal policy can be found explicitly, but even in the case where \(N\) has an arbitrary distribution, it is shown that routine calculus methods can be used to prove that the optimal policy is of a certain conjectured form.

Recommendations

• Some Extensions of Generalized Secretary Problem
• Remarks on the Secretary Problem
• On an optimal selection problem of Cowan and Zabczyk
• scientific article; zbMATH DE number 3947461

Cites work

• A unified approach to a class of best choice problems with an unknown number of options
• A unified approach to a class of optimal selection problems with an unknown number of options
• An Optimal Selection Problem Associated with the Poisson Process
• Conditions for quasi-stationarity of the Bayes rule in selection problems with an unknown number of rankable options
• Invariant record processes and applications to best choice modelling
• Point processes and queues. Martingale dynamics
• Random record models
• The infinite secretary problem
• The k-record processes are i.i.d.
• The Secretary Problem with an Unknown Number of Options

Cited in

(13)

• Approximation of optimal stopping problems.
• The best choice problem with random arrivals: how to beat the \(1 / e\)-strategy
• Best choice from the planar Poisson process
• On the optimal stopping problems with monotone thresholds
• On approximative solutions of optimal stopping problems
• Optimal choice of the best available applicant in full-information models
• On an optimal selection problem of Cowan and Zabczyk
• scientific article; zbMATH DE number 1239843 (Why is no real title available?)
• Duration of a secretary problem
• Stochastic processes with proportional increments and the last-arrival problem
• Optimal Shopping When the Sales Are on—a Markovian Full-Information Best-Choice Problem
• On approximative solutions of multistopping problems
• The last-success stopping problem with random observation times

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