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TL;DR

Optimal Twenty Questions with Biased Priors: A canonical quantitative trading interview question at foundation difficulty. Commonly asked at Jane Street, SIG, Two Sigma.

By Valenke Exam Prep Team·Last updated 2026-06-01
foundationInformation & Entropy

Optimal Twenty Questions with Biased Priors

Asked at: Jane Street, SIG, Two Sigma

Problem
You are playing 20 questions to identify a number from {1,,100}\{1, \ldots, 100\}. If the prior is uniform, binary search is optimal (log2100=7\lceil \log_2 100 \rceil = 7 questions). But if you know the number is 10\leq 10 with probability 0.9 and uniformly distributed on {1,,100}\{1, \ldots, 100\} otherwise, what strategy minimizes expected questions?

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