Optimal selection problems based on exchangeable trials
Gnedin, Alexander V. ; Krengel, Ulrich
Ann. Appl. Probab., Tome 6 (1996) no. 1, p. 862-882 / Harvested from Project Euclid
We consider optimal stopping problems with loss function q depending on the rank of the stopped random variable. Samuels asked whether there exists an exchangeable sequence of random variables $X_1, \dots, X_n$ without ties for which the observation of the values of the $X_i$'s gives no advantage in comparison with the observation of just the relative ranks of the variables. We call distributions of the sequences with this property q-noninformative and derive necessary and sufficient conditions for this property. Extending an impossibility result of B. Hill, we show that, for any $n > 1$, there are certain losses q for which q-noninformative distributions do not exist. Special attention is given to the classical problem of minimizing the expected rank: for n even we construct explicitly universal randomized stopping rules which are strictly better than the rank rules for any exchangeable sequence.
Publié le : 1996-08-14
Classification:  Optimal stopping,  exchangeability,  rank,  secretary problems,  60G40
@article{1034968230,
     author = {Gnedin, Alexander V. and Krengel, Ulrich},
     title = {Optimal selection problems based on exchangeable trials},
     journal = {Ann. Appl. Probab.},
     volume = {6},
     number = {1},
     year = {1996},
     pages = { 862-882},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1034968230}
}
Gnedin, Alexander V.; Krengel, Ulrich. Optimal selection problems based on exchangeable trials. Ann. Appl. Probab., Tome 6 (1996) no. 1, pp.  862-882. http://gdmltest.u-ga.fr/item/1034968230/