TITLE: Expectation of the maximum of i.i.d. geometric random variables
QUESTION [35 upvotes]: Given $n$ independent geometric random variables $X_n$, each with probability parameter $p$ (and thus expectation $E\left(X_n\right) = \frac{1}{p}$), what is
$$E_n = E\left(\max_{i \in 1 .. n}X_n\right)$$

If we instead look at a continuous-time analogue, e.g. exponential random variables $Y_n$ with rate parameter $\lambda$, this is simple:
$$E\left(\max_{i \in 1 .. n}Y_n\right) = \sum_{i=1}^n\frac{1}{i\lambda}$$
(I think this is right... that's the time for the first plus the time for the second plus ... plus the time for the last.)
However, I can't find something similarly nice for the discrete-time case.

What I have done is to construct a Markov chain modelling the number of the $X_n$ that haven't yet "hit". (i.e. at each time interval, perform a binomial trial on the number of $X_n$ remaining to see which "hit", and then move to the number that didn't "hit".) This gives
$$E_n = 1 + \sum_{i=0}^n \left(\begin{matrix}n\\i\end{matrix}\right)p^{n-i}(1-p)^iE_i$$
which gives the correct answer, but is a nightmare of recursion to calculate. I'm hoping for something in a shorter form.

REPLY [26 votes]: There is no nice, closed-form expression for the expected maximum of IID geometric random variables.  However, the expected maximum of the corresponding IID exponential random variables turns out to be a very good approximation.  More specifically, we have the hard bounds
$$\frac{1}{\lambda} H_n \leq E_n \leq 1 + \frac{1}{\lambda} H_n,$$
and the close approximation
$$E_n \approx \frac{1}{2} + \frac{1}{\lambda} H_n,$$
where $H_n$ is the $n$th harmonic number $H_n = \sum_{k=1}^n \frac{1}{k}$, and $\lambda = -\log (1-p)$, the parameter for the corresponding exponential distribution.
Here's the derivation.  Let $q = 1-p$.  Use Did's expression with the fact that if $X$ is geometric with parameter $p$ then $P(X \leq k) = 1-q^k$ to get 
$$E_n = \sum_{k=0}^{\infty} (1 - (1-q^k)^n).$$
By viewing this infinite sum as right- and left-hand Riemann sum approximations of the corresponding integral we obtain 
$$\int_0^{\infty} (1 - (1 - q^x)^n) dx \leq E_n \leq 1 + \int_0^{\infty} (1 - (1 - q^x)^n) dx.$$
The analysis now comes down to understanding the behavior of the integral.  With the variable switch $u = 1 - q^x$ we have
$$\int_0^{\infty} (1 - (1 - q^x)^n) dx = -\frac{1}{\log q} \int_0^1 \frac{1 - u^n}{1-u} du = -\frac{1}{\log q} \int_0^1 \left(1 + u + \cdots + u^{n-1}\right) du $$
$$= -\frac{1}{\log q}  \left(1 + \frac{1}{2} + \cdots + \frac{1}{n}\right) = -\frac{1}{\log q} H_n,$$
which is exactly the expression the OP has above for the expected maximum of $n$ corresponding IID exponential random variables, with $\lambda = - \log q$.
This proves the hard bounds, but what about the more precise approximation?  The easiest way to see that is probably to use the Euler-Maclaurin summation formula for approximating a sum by an integral.  Up to a first-order error term, it says exactly that
$$E_n = \sum_{k=0}^{\infty} (1 - (1-q^k)^n) \approx \int_0^{\infty} (1 - (1 - q^x)^n) dx + \frac{1}{2},$$
yielding the approximation
$$E_n \approx -\frac{1}{\log q} H_n + \frac{1}{2},$$
with error term given by 
$$\int_0^{\infty} n (\log q) q^x (1 - q^x)^{n-1} \left(x - \lfloor x \rfloor - \frac{1}{2}\right) dx.$$
One can verify that this is quite small unless $n$ is also small or $q$ is extreme.
All of these results, including a more rigorous justification of the approximation, the OP's recursive formula, and the additional expression 
$$E_n = \sum_{i=1}^n \binom{n}{i} (-1)^{i+1} \frac{1}{1-q^i},$$
are in Bennett Eisenberg's paper "On the expectation of the maximum of IID geometric random variables"  (Statistics and Probability Letters 78 (2008) 135-143).