Optimal Selection from a Random Sequence with Observation Errors

摘要

A form of sequential decision problem is introduced in which options are presented in sequence, with no recall of rejected options (as in the secretary problem), but in which the value of each option may only be inferred from experiments. Decisions have thus to be made concerning both the acceptance and rejection of each option and the degree of experimentation. General properties of the optimal policy are derived, and an algorithm is obtained for the solution in a special case. This special case suggests a heuristic rule for more general situations, the performance of which rule has been investigated by a Monte Carlo study.