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Online Selection of Alternating Subsequences from a Random Sample

Published online by Cambridge University Press:  14 July 2016

Alessandro Arlotto
Affiliation:
University of Pennsylvania
Robert W. Chen
Affiliation:
University of Miami
Lawrence A. Shepp
Affiliation:
University of Pennsylvania
J. Michael Steele
Affiliation:
University of Pennsylvania
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Abstract

We consider sequential selection of an alternating subsequence from a sequence of independent, identically distributed, continuous random variables, and we determine the exact asymptotic behavior of an optimal sequentially selected subsequence. Moreover, we find (in a sense we make precise) that a person who is constrained to make sequential selections does only about 12 percent worse than a person who can make selections with full knowledge of the random sequence.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 2011 

References

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