Optimal Selection from a Finite Sequence with Sampling Cost
Ishwari Dutt Dhariyal, Edward J. Dudewicz · 1981
Two variations of the problem of choosing the largest of N independent and identically distributed random variables with sampling cost are studied. In the first case it is assumed that the underlying distribution is continuous and known, but the information obtained by sampling is whether the sampled variable is larger or smaller than some given level. In the second case it is assumed that the distribution of the random variables is continuous but unknown, and the information obtained is the rank of the sampled variable relative to the other variables already in the sample. In each case both the optimal strategy and the distribution of the stopping variable are discussed. (Author)