Optimal Stopping with Sampling Cost: The Secretary Problem
A secretary problem is an optimal stopping problem based on relative ranks. To the usual formulation of the secretary problem we add a cumulative interview cost function $h(\cdot)$, no longer obtaining "cutoff point" rules. For an appealing form of $h(\cdot)$ we examine the limiting results using the infinite secretary problem. It is shown that the other appealing form of $h(\cdot)$ leads to trivial limiting results. A large class of problems is considered and recursive equations leading to the limiting solution are given. In particular we solve the problem of minimizing expected rank with a linear interview cost function. An approximation to the rank problem with fixed cost $c$ per interview is obtained (for all values of $c$) through the solution of a single differential equation.
Permanent link to this document: http://projecteuclid.org/euclid.aop/1176994519
Digital Object Identifier: doi:10.1214/aop/1176994519
Mathematical Reviews number (MathSciNet): MR606808
Zentralblatt MATH identifier: 0449.60033