A random walk version of Robbins' problem: small horizon

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This article considers an analogous problem in which the observed random variables are the steps of a symmetric random walk. Assuming continuously distributed step sizes, it describes the optimal stopping rules for the cases n = 2 and n = 3 in two versions of the problem: a "full information" version in which the actual steps of the random walk are disclosed to the decision maker; and a "partial information" version in which only the relative ranks of the positions taken by the random walk are observed. When n = 3, the optimal rule and expected rank depend on the … continued below

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Allaart, Pieter C. & Allen, Andrew November 17, 2018.

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This article considers an analogous problem in which the observed random variables are the steps of a symmetric random walk. Assuming continuously distributed step sizes, it describes the optimal stopping rules for the cases n = 2 and n = 3 in two versions of the problem: a "full information" version in which the actual steps of the random walk are disclosed to the decision maker; and a "partial information" version
in which only the relative ranks of the positions taken by the random walk are observed. When n = 3, the optimal rule and expected rank depend on the distribution of the step sizes. The authors give sharp bounds for the optimal expected rank in the partial information version, and fairly sharp bounds in the full information version.

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20 p.

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Abstract: In Robbins' problem of minimizing the expected rank, a finite sequence of $n$ independent, identically distributed random variables are observed sequentially and the objective is to stop at such a time that the expected rank of the selected variable (among the sequence of all n variables) is as small as possible. In this paper we consider an analogous problem in which the observed random variables are the steps of a symmetric random walk. Assuming continuously distributed step sizes, we describe the optimal stopping rules for the cases n=2 and n=3 in two versions of the problem: a "full information" version in which the actual steps of the random walk are disclosed to the decision maker; and a `"partial information" version in which only the relative ranks of the positions taken by the random walk are observed. When n=3, the optimal rule and expected rank depend on the distribution of the step sizes. We give sharp bounds for the optimal expected rank in the partial information version, and fairly sharp bounds in the full information version.

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  • Mathematica Applicanda, 47(2), Polish Mathematical Society, November 17, 2018, pp. 1-20

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  • Publication Title: Mathematica Applicanda
  • Volume: 47
  • Issue: 2
  • Page Start: 293
  • Page End: 312
  • Peer Reviewed: Yes

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  • November 17, 2018

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  • June 15, 2022, 3:16 p.m.

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  • Dec. 12, 2023, 1:42 p.m.

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Allaart, Pieter C. & Allen, Andrew. A random walk version of Robbins' problem: small horizon, article, November 17, 2018; (https://digital.library.unt.edu/ark:/67531/metadc1944134/: accessed May 21, 2024), University of North Texas Libraries, UNT Digital Library, https://digital.library.unt.edu; crediting UNT College of Science.

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