Abstract
We consider the best-choice problem with disorder and imperfect observation. The decision-maker observes sequentially a known number of i.i.d random variables from a known distribution with the object of choosing the largest. At the random time the distribution law of observations is changed. The random variables cannot be perfectly observed. Each time a random variable is sampled the decision-maker is informed only whether it is greater than or less than some level specified by him. The decision-maker can choose at most one of the observation. The optimal rule is derived in the class of Bayes' strategies.
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