Abstract
In the so-called secretary problem, if an unknown number, $N$, of options arrive at i.i.d. times with a known continuous distribution, then ignorance of how many options there are becomes almost irrelevant: The optimal rule for infinitely many options is shown to be minimax with respect to all possible distributions of $N$, nearly optimal whenever $N$ is likely to be large, and formal Bayes against a noninformative prior. These results hold whatever the loss function.
Citation
F. Thomas Bruss. Stephen M. Samuels. "A Unified Approach to a Class of Optimal Selection Problems with an Unknown Number of Options." Ann. Probab. 15 (2) 824 - 830, April, 1987. https://doi.org/10.1214/aop/1176992175
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