NON -ZERO-SUM GAMES RELATED TO THE SECRETARY PROBLEM

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Journal of the Operations Research Society of Japan Vol. 3, No. 3, September 1980 1980 The Operations Research Society of Japan NON -ZERO-SUM GAMES RELATED TO THE SECRETARY PROBLEM Minoru Sakaguchi Osaka University (Received April 1, 1980) Abstract This note reanalyzes a non zero-sum game version of the secretary problem recently treated by Kurano, Nakagami and Yasuda [3], under a modified formulation of the problem. The equilibrium derived differs from the former one and has an interesting assymptotic behavior which reconfirms a main theorem formerly proved by Presman and Sonin [4]. Th" equilibrium value in the limit is a positive number which is a unique root in (0, 1/) of a transcendental equation. 1_ Introduction and Purpose In their paper [3 J, Kurano, Nakag8lTIi and Yasuda analysed a two-person game version of the so-called secretary problem in which the situation can be represented ae follows: There are two competitors and two identical sets of N applicants, and each player considers his set in the conditions of the "ellknown secretary problem, taking decisions independently of the other player_ As soon as one of the players stops, the other player is informed of this information and he drops out of the g8ltie _ The goal of each player is to maximize the probability of win, Le. stopping at the best one in his set of objeets. In [3J the authors give a non-zero-sum game formulation and shows that the unique Nash-equibilium strategy for each player has a threshold character, i.e. each player must stop at the arrival of the first candidate (the obj ect which is best among those preceding it) positive integer satisfying m*nil j=r.* after the m*-th, where m* is the smalle:,t - j <1. This result i<; clearly a non-interesting one in opportunity analysis since both of the threshold point and the equilibrium value tend to zero in the limit as N -+ 00 The purpose of this note is to rec.nalyze the above problem, showing first 87

88 M. Sakaguchi that the Nash-equilibrium si;rategy, which gives an interesting asymptotic result, is obtained under a modified setting of the game. Next we illustrate, for purposes of comparison, with the solutions of other related problems as well as the one in [3]. It is assumed that the reader is familiar with the simplest form of the secretary problem and its solution (see,~, Gilbert and Mosteller []).. A Non-Zero-Sum Game Related to the Secretary Problem We first state the problem as follows: (1) There are two competitors and two identical sets of N objects, and each player considers his set in the conditions of the well-knowi. secretary problem, taking decisions (i. e. continue or stop observing) independently of the other player. () If one of the players stops, the other player is ~ot informed of this fact and continues playing. We call a "win" for each player the event in which he gets to be the first to stop at the best one in his set of objects. If the two player stop simultaneously at the best one in each player's set of objects, both of them are the winners. (3)The goal of each player in the game is to maximize the probability that he becomes a single winner. A strategy which prescribes stopping at the first candidate that appears (if any) after the m-th will be called m-level strategy and will be denoted by om' The importance of the m-level strategies for a class of the secretary problems we are discussing about is widely known (see, ~ Presman and Sonin [4], Gaver [1], and Smith [5J). Suppose that players I and II employ the strategy m1 and with m m l ~ m. respectively. Let us call the event in which a player stops at the best one in his set of objects, as his sub-win. Then under the above strategypair -,with m 1 ~ m l m Pr. {I' s sub-win} m, we find that j l)j' N and Pr.{ (1 's sub-win) & (II stops earlier & subwins) } N m. \'.,--,-=_ l 1. j t -,:-m-,=--..,.,- k L (. l)j' N j=m +1 J - k=m +1 (k - l)k N since the probability that the j-th is the first candidate after the ml-th is ~/(j - l)j. Hence we have (.1) Pr.{I's win} Pr.{I's sub-win} - Pr.{(I's sub-win) & (II stops earlier & subwins)}

Games Related to the Secretary Problem 89 ~ N-l._ 1 N L J j=m..l m m N-l j-l 1 L j-l L k- l N j=m k=m Similar:Ly we can get (.) Pr. {II 's win} Pr. {II' s sub-win} - Pr. {(II's sub-w:ln) & (I stops earlier & subwinsn Note that the second terms in the r.h.ll. 's of (.1) and (.) are not identical. procedure: In orde, to derive the payoffs of the game we use the following simple 'tie consider, instead of the time points 1,,..., N, the points l/n, /N,..., N/N, and take the limit N, m l, m -+ "', with ml/n -+ x, and m /N -+ y. 'rhen we find, in the limit of (.1) and (.), (.3) Pr. {I' s win} = -x log x - (1/)xy(log y), (.4) Pr. { II 's win} = -y log Y + (1/)xy(log y) - (x log x)(y log y), both for 0 < x ~ y < 1. in the problem, lead to the payoff fun,~tions unit square: This result, together with consideration of syrrmetry (1/)xy(log y), of the non-zero-sum game on the if x~y (.6) M (0,0 ) x y { (1/)xy(log x) - : ::: (1/)xy(log y) - (1/)xy(log x), (x log x)(y log y), if x > y. (x log x)(y log y), if x ~ Y if x > y. where 0 denotes the x-level strategy for player 1, and 0, for 11. x y Elementary calculus which we shall omit describing since it is easy but lengthy and not interesting gives the result that (1) there exits a unique equilibrium strategy-pair consisting of the identical level strategies er 1 z where z* =: 0.9533 is a unique root of the equation -log x = 1 + " x(log x), or equivalently (.7) -x log x 1 - (1 _ x)1/ and () the equilibrium value is equal to z*. * ' This result coincides with an observation deductab1e from the main theorem proved by Presman and Son in [ 4 ; Theorerr. 1].

90 M. Sakaguchi 3. Remarks In the final section we shall illustrate, for purposes of comparison, with the solutions of other related problems as well as the one in [3J. 3.1. We shall make a revisit to the example treated in [3 ; Example 4.3J. The problem was already describe:! in Section 1. Here note that any player lo[,es his possibility of win as so:m as his opponent makes a stop earlier than him. Instead of (.1) and (.),we now get for a strategy-pair - am ' with m l ~ ~ m, Pr { I' s win} Pr. {I stops earlier & subwins} m m. N m m l 1. L (. _ ).J.. '=m +l J 1 j N, +l j - 1 j N j - 1 J 1 J=m m -1 m l,-1 V.LJ j=m l + L -;-( ---'0:--;):--.J.. -- the sum in the first term being interpreted as zero if m l Pr.{ II' s win} Pr.{II Btops earlier & subwins} These probabilities become in the limit of N, m l m -+ 00 with ml/n -+ x, and m /N -+ y, Pr.{I's win} = x log(y/x) + x(l - Pr.{II's win} x(l - y) y), both for 0 < x ~ y < 1. parallel to (.5) and (.6), x log(y/x) Ml(a,a ) x y ={ Y(l - x), M (a,0 ) x y = { x(l - Thus we have reached to a pair of payoff functions y), y log(x/y; +x(l-y), + Y(l - x), if x ~ Y if x > Y if x ~ Y if x > y, and differentiation shows that thel'e e;x:ists a unique equilibrium point x* y* arid the equilibrium value is equal to zero, Since there remains no I,ossibility of a win for a player if the other player has stopped earlier ttan him, both of the players compete with the opponent in making the earliest stop, and thus the consequence is the above non-interesting behavior. 3.. Similar analysis as made in Section can be made for another class of secretary problems. We show one example in which the problem is represented as follows: (1) There are two competitors each of whom faces the identical 0,

Games Related to the Secretary Problem 91 stopping problem over the Poisson process with the identical arrival rate. For player I the stopping problem is: (la) Let X., i=1,,..., be a sequence of iid l r,v.'s, each with uniform distribution over the unit interval [0, 1]. (lb) Xl' X "" appear according to a Poisson process with rate A, and the deci<',ion about the stopping must be made before some fixed moment, unity, say. (lc) The objective is to maximize the probability of stopping at the maximum of r.v.'s. (Id) The decision processes are independent, i.e., the decisions for a player are made independently of the other player. in Section. problem studied by Gaver [1]. Suppose player I () and (3) are the same.s those This problem corresponls to a non-zero-sum game version of the sets aside a ti:ne Tl to look over the field, leaving himself VI = 1 - Tl for choice. Let ::lis strategy be to examine all X-values to occur in Tl and then to stop at the first candidate (i.e., maximum relative value), if any thereafter. This strategy will be called Tl-level strategy and will be denoted by 0 T. The T -1eve1 strategy for player 11 is similarly del fined with X-values replaced by Y-val ~es. Let X ' for player I, be the maximum o value appeared in time [0, T 1 ] and it3 cdf be denoted by FO(X). Then FJ(x) = Pr {no arrival greater than x, in [0, T l ]} -AT (I-x) 1 e -AT (l-y) Y and its cdf Go(Y) = e can similarly be defined. O Vnder the strategy-pair 0 T. - 0 T, with Tl ~ T we can find that.l ; -At (L-x) SI -A(V -t)(1-z) l Pr. {I' s subwin e Adt x e dz -At (I-x) e -AV (I-x) 1 ~~-_e~ dt V 1 - t the integrand being Pr. { I' s sub-win b;r stopping at Tl +t I Xo=x}, and (3.1) Pr. : (I's subwin)&(n stops ea:~lier & subwins)1 Xo=X, YO=Y} s-t +T -Au(l-y) Taking expe'~tations r J VI -A s (I-x) -A V l (I-x) e -e ds 1 = T -T l VI - s 0 with respect to Xo and Y ' gives. r O VI 1.-A(Tl+t) -A Pr,{ I' s 3ubwln} = Tl {T +t (l-e )-(l-e )} and 0 1 -AV (1-y) e -e duo Pr.{ (I' s subwin)&(ii stops earlier & subwins)} = T j"vl { 1 1 T T Tl+s - 1

9 M. Sakaguchi In the event that opportunities come thick and fast, i.e., as \ -+ 00, " f these probabilities become U l dt = -Tllog rr and --1 0 Tl+t l s--t +T (3.) ds ) lu' l du (1) ( ) TIT Tl+s T +u = " TIT log T ' T -T 0 l respectively, and hence we have, for 0,;;, Tl ~ T ;;, 1, (3.3) lim Pr{I's win} = - rr l log Tl - (1/)T I T (10g T ). \-+00 Also we can similarly show that Pr.{(II's subwin)&(i StoP:3 earlier & subwins) I XO=x, YO=y} = (U e-\t(1-y)_e-au (1-y) 0 J U - t dt ) t+t -T 1 o -\u(l-x) -\Ul(l-x) e -e du., and (3.4) lim Pr.{(II's subwin)&(i stops earlier & subwins)} \-+00 -(1/)T 1 T (10g T ) +(T l log T l )(T log T ), instead of (3.1), (3.), and (3.3) respectively. Equations (3.3) and (3.4) are the reproductions of (.3) and (.4), with x and y, replaced by Tl and T, respectively, so that we again have the pair of payoff functions (.5)-(.6), for the non-zero-sum game we have considered. References [1] D.P. Gaver: Random record models. J. Appl. Prob.,13 (1976), 538-547. [] J.P. Gilbert and F. Moste1ler: Recognizing the maximum of a sequence. J.Amer.Stat.Assoc., 61 (1966), 35-73. [3] M. Kurano, J. Nakagami and M. Yasuda: Multi-variate stopping problem with a majority rule, J-.Oper.Res.Soc.Japan, 3 (1980), this issue. [4] E.L. Presman and I.M. E:onin: Equilibrium points in a game related to the best choice problem. Theory Prob. Appl., 0 (1975), no-78l. [5] M.H. Smith: A secretary problem with uncertain employment. J. Appl. Prob.,1 (197:,), 60-64.