The Full-Information Best Choice Problem with Two Choices
Zdzisław Porosiński · 1992
The following full-information best choice problem was studied by Gilbert and Mosteller (1966). A known number, say N, of iid rv’ s Y 1 , Y 2 ,..., Y N from a known continuous df F is observed sequentially. The objective is to maximize the probability of choosing the largest. After Y n is observed it must be chosen (and the observation is terminated) or rejected (and the observation is continued). Neither recall nor uncertainty of selection is allowed and one choice must be made.