随机序列的最大连续子之和展望

问题描述:

下面是编程珠玑的问题第2版(第8.7):

Here is a problem from Programming Pearls 2nd edition (Chapter 8.7):

考虑到一个真正的数字序列,它的元素均匀的范围绘制 [ - 1,1] ,什么是预期的最大连续子之和? (如果所有的元素都是负值,最大的一笔是 0

Considering a real number sequence, whose elements are drawn uniformly from the range [-1, 1], what is the expected maximum consecutive subsequence sum? (If all the elements are negative, the maximum sum is 0.)

假设序列的长度 N ,是有一个封闭的形式为预期的最大子之和 F(N)?我试着做一些模拟,但未能找到任何线索。

Assuming the length of the sequence is N, is there a closed form for the expected maximum subsequence sum f(N)? I try to do some simulation, but failed to find any clue.

感谢您的帮助。

这是类似于布朗运动一>一维,但是有一个不同寻常的分布步长。对于大的N它接近于维纳过程

this is similar to Brownian motion in 1D, but with an unusual distribution for step sizes. for large N it approximates a Wiener process.

(不知道任何这是非常有帮助的,但如果你不知道的连接可能提供额外的地方寻找)。

(not sure any of that is very helpful, but if you're not aware of the connections it may give additional places to look).