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.
Citation
Alessandro Arlotto. Robert W. Chen. Lawrence A. Shepp. J. Michael Steele. "Online selection of alternating subsequences from a random sample." J. Appl. Probab. 48 (4) 1114 - 1132, December 2011. https://doi.org/10.1239/jap/1324046022
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