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Bayes' Model of the Best-Choice Problem with Disorder

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  • Vladimir Mazalov
  • Evgeny Ivashko

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.

Suggested Citation

  • Vladimir Mazalov & Evgeny Ivashko, 2012. "Bayes' Model of the Best-Choice Problem with Disorder," International Journal of Stochastic Analysis, Hindawi, vol. 2012, pages 1-8, August.
    • Handle: RePEc:hin:jnijsa:697458
    DOI: 10.1155/2012/697458
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