Bayes Model of the Best-Choice Problem with Disorder英文文献资料.docVIP

HindawiPublishingCorporation InternationalJournalofStochasticAnalysis Volume2012,ArticleID697458,8pages doi:10.1155/2012/697458 ResearchArticle Bayes’ModeloftheBest-Choice Problemwith Disorder VladimirMazalovandEvgenyIvashko InstituteofAppliedMathematical Research,KarelianResearchCentreofRAS,IAMRKRCRAS11, Pushkinskaya Street,Petrozavodsk, Karelia185910,Russia Correspondence shouldbeaddressedtoEvgenyIvashko, ivashko@krc.karelia.ru Received10December 2010;Accepted21March2011 Academic Editor:Onesimo Hernandez Lerma Copyright q2012V.MazalovandE.Ivashko. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction inanymedium, providedtheoriginalworkisproperlycited. Weconsiderthebest-choiceproblemwithdisorderandimperfectobservation.Thedecision-maker observes sequentially aknown number ofi.i.drandom variables fromaknown 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 speci?ed byhim.Thedecision-maker canchooseatmostoneoftheobservation. Theoptimalrule isderivedintheclassofBayes’strategies. 1.Introduction In the papers we consider the following best-choice problem with disorder and imperfect observations. A decision-maker observes sequentially n iid random variables ξ1,...,ξ ,ξθ,...,ξn. The observations ξ1,...,ξ are from a continuous distribution law θ?1 θ?1 F1xstate S1.Atthe randomtime θ, the distribution lawof observationsischangedto continuous distribution function F2x i.e., the disorder happen—state S2. The moment of the disorder has a geometric distribution with parameter 1 ? α. The observer knows parametersα,F x,andF x,buttheexactmomentθisunknown. 1 2 At each time in which a random variable is sa