Xi'an's Og

As a continuation of the Bayesian resolution of last week riddle, I looked at a numeric resolution of the four secretaries problem, while in the train back from Rouen (and trying to block the chatter of my neighbours, a nuisance I find myself more and more sensitive to!). The target function is defined as

gainz=function(b,c,T=1e4,type="raw"){
  x=matrix(runif(4*T),ncol=4)
  maz=t(apply(x,1,cummax))
  zam=t(apply(x[,4:1],1,cummax))
  if (type=="raw"){return(mean(
   ((x[,2]>b*x[,1])*x[,2]+
    (x[,2]<b*x[,1])*((x[,3]>c*maz[,2])*x[,3]+
        (x[,3]<c*maz[,2])*x[,4]))/maz[,4]))} 
  if (type=="global"){return(mean( 
    ((x[,2]>b*x[,1])*(x[,2]==maz[,4])+
     (x[,2]<b*x[,1])*((x[,3]>c*maz[,2])*(x[,3]==maz[,4])+
         (x[,3]<c*maz[,2])*(x[,4]==maz[,4])))))} 
  if (type=="remain"){return(mean( 
    ((x[,2]>b*x[,1])*(x[,2]==zam[,3])+
     (x[,2]<b*x[,1])*((x[,3]>c*maz[,2])*(x[,3]==zam[,2])+
          (x[,3]<c*maz[,2])*(x[,4]==zam[,2])))))}}

where the data is generated from a U(0,1) distribution as the loss functions are made scaled free by deciding to always sacrifice the first draw, x¹. This function is to be optimised in (b,c) and hence I used a plain vanilla simulated annealing R code:

avemale=function(T=3e4,type){
  b=c=.5
  maxtar=targe=gainz(b,c,T=1e4,type)
  temp=0.1
  for (t in 1:T){
    bp=b+runif(1,-temp,temp)
    cp=c+runif(1,-temp,temp)
    parge=(bp>0)*(cp>0)*gainz(bp,cp,T=1e4,type)
    if (parge>maxtar){
      b=bs=bp;c=cs=cp;maxtar=targe=parge}else{
    if (runif(1)<exp((parge-targe)/temp)){
      b=bp;c=cp;targe=parge}}
    temp=.9999*temp}
  return(list(bs=bs,cs=cs,max=maxtar))}

with outcomes

• b=1, c=.5, and optimum 0.8 for the raw type
• b=c=1 and optimum 0.45 for the global type
• b undefined, c=2/3 and optimum 0.75 for the remain type

This entry was posted on June 22, 2017 at 12:17 am and is filed under Statistics with tags mathematical puzzle, R, simulated annealing, The Riddler. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.