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The Noisy Secretary Problem and Some Results on Extreme Concomitant Variables

Part of: Sequential methods Limit theorems

Published online by Cambridge University Press:  04 February 2016

Abba M. Krieger  and
Ester Samuel-Cahn
Abba M. Krieger*
Affiliation:
University of Pennsylvania
Ester Samuel-Cahn*
Affiliation:
The Hebrew University of Jerusalem
*
∗ Postal address: Department of Statistics, Wharton School, University of Pennsylvania, Philadelphia, PA 19104, USA. Email address: krieger@wharton.upenn.edu
∗∗ Postal address: Department of Statistics and Center for Rationality, The Hebrew University of Jerusalem, Jerusalem, 91905, Israel. Email address: schan@mscc.huji.ac.il
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Abstract

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The classical secretary problem for selecting the best item is studied when the actual values of the items are observed with noise. One of the main appeals of the secretary problem is that the optimal strategy is able to find the best observation with a nontrivial probability of about 0.37, even when the number of observations is arbitrarily large. The results are strikingly different when the qualities of the secretaries are observed with noise. If there is no noise then the only information that is needed is whether an observation is the best among those already observed. Since the observations are assumed to be independent and identically distributed, the solution to this problem is distribution free. In the case of noisy data, the results are no longer distribution free. Furthermore, we need to know the rank of the noisy observation among those already observed. Finally, the probability of finding the best secretary often goes to 0 as the number of observations, n, goes to ∞. The results heavily depend on the behavior of pn, the probability that the observation that is best among the noisy observations is also best among the noiseless observations. Results involving optimal strategies if all that is available is noisy data are described and examples are given to elucidate the results.

Keywords

Optimal stopping rulebest-choice secretary problemnoisy data

MSC classification

Primary: 62L15: Optimal stopping
Secondary: 60F99: None of the above, but in this section
Type
Research Article
Information
Journal of Applied Probability , Volume 49 , Issue 3 , September 2012 , pp. 821 - 837
Copyright
© Applied Probability Trust 

Footnotes

Supported by funds from the Marcy Bogen Chair of Statistics at the Hebrew University of Jerusalem.

Supported by the Israel Science Foundation, grant no. 467/04.

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