Date of this Version
Journal of Applied Probablity
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.
This article has been published in a revised form in the Journal of Applied Probability: http://dx.doi.org/10.1239/jap/1324046022. This version is free to view and download for private research and study only. Not for re-distribution, re-sale or use in derivative works. © Cambridge University Press.
Bellman equation, online selection, sequential selection, prophet inequality, alternating subsequence
Arlotto, A., Chen, R. W., Shepp, L. A., & Steele, J. (2011). Online Selection of Alternating Subsequences from a Random Sample. Journal of Applied Probablity, 48 (4), 1114-1132. http://dx.doi.org/10.1239/jap/1324046022
Date Posted: 25 October 2018
This document has been peer reviewed.