Optimal algorithms for the online time series search problem

In the problem of online time series search introduced by El-Yaniv et al. (2001) [1], a player observes prices one by one over time and shall select exactly one of the prices on its arrival without the knowledge of future prices, aiming to maximize the selected price. In this paper, we extend the problem by introducing profit function. Considering two cases where the search duration is either known or unknown beforehand, we propose two optimal deterministic algorithms respectively. The models and results in this paper generalize those of El-Yaniv et al. (2001) [1].

Authors

• Yinfeng Xu
• Wenming Zhang
• Feifeng Zheng

Keywords

• Time series search
• Profit function
• Online algorithm
• Competitive ratio