Abstract
There are n independent Bernoulli random variables Ik with parameters pk that are observed sequentially. We consider an extension of the last-success-problem with reward wk if the player predicts correctly at step k that Ik=1 is the last success. We establish the optimal strategy for a payoff-function generalizing the last-success 0−1 payoff by using the dynamical programming method. In particular we show that this method is intuitive and very efficient for general payoffs.
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