Probability – Secretary Problem: Why is the Optimal Solution Optimal?

game theoryprobability

I have read about this problem:

http://en.wikipedia.org/wiki/Secretary_problem

But I want to see how it is proven that the "optimal" solution is indeed optimal. I understand how to prove that if the optimal solution is of the form "wait for $t$ candidates and then choose the next best one" then $t=n/e$ is optimal; but why is the best strategy of that form in the first place?

A complete proof is not required – a reference to a good text discussing this is good as well.

Best Answer

Since this is all or nothing, there is no point in selecting a candidate who is not best so far.

If there are $n$ candidates in total and the $k$th candidate is the best so far then the probability that the $k$th candidate is best overall is $\frac{k}{n}$, which is an increasing function of $k$.

So if you have a decision method which selects the $k$th candidate when best so far but not the $m$th candidate when best so far, with $k \lt m$, then a better (or, in an extreme case, not worse) decision method would be not to select the $k$th candidate when best so far but to select the $m$th candidate when best so far.

So in an optimal method, if at any stage when you are willing to select a best so far candidate, you should be willing to select any subsequent best so far candidates. That gives the strategy in your question of not selecting up to a point and then selecting any best so far candidates after that point.

There is an extreme case: for example if there are two candidates, it does not make any difference whether you accept the first candidate or wait to see the second candidate.

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