Optimal Selection from a Finite Sequence with Sampling Cost
研究了在抽样有成本时，如何从N个独立同分布随机变量中选出最大值。第一种情况分布已知但只能知道变量是否大于某个水平；第二种情况分布未知但能知道变量在已抽样本中的排名。讨论了最优策略和停止变量的分布。
Abstract Two variations of the problem of choosing the largest of N independent and identically distributed (iid) 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.