Bayes' Model of the Best-Choice Problem with Disorder

Abstract EN

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.