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The secretary problem for a random walk

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  • Hlynka, M.
  • Sheahan, J. N.
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    Abstract

    The secretary problem for a random walk is described. A particle has equal probabilities of moving j steps up or j steps down. The optimal strategy of picking the maximum height in n steps without the opportunity of recall is found. The best strategy is shown to be exactly the same as the naive strategy of choosing the first element of the sequence. The theory is extended to symmetric continuous distributions.

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    Bibliographic Info

    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 28 (1988)
    Issue (Month): 2 (June)
    Pages: 317-325

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    Handle: RePEc:eee:spapps:v:28:y:1988:i:2:p:317-325

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    Related research

    Keywords: secretary problem random walk optimal stopping;

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    Cited by:
    1. Chun, Young Hak, 1997. "Rank-based selection strategies for the random walk process," European Journal of Operational Research, Elsevier, vol. 96(2), pages 417-427, January.
    2. Pieter C. Allaart, 2009. "A general "bang-bang" principle for predicting the maximum of a random walk," Papers 0910.0545, arXiv.org.
    3. Hak Chun, Young, 1996. "Selecting the best choice in the weighted secretary problem," European Journal of Operational Research, Elsevier, vol. 92(1), pages 135-147, July.

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