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This paper proposes an autonomous cognitive mobile radio that optimizes the use of radio resources from the user point of view. The network functions that are required to provide a service with the least amount of user intervention are discussed. A computationally inexpensive heuristic algorithm that manages the call setup is developed. The algorithm makes use of past experience to determine the optimal voice call connection that either minimizes the cost for the user or minimizes the call setup time. The transient properties of the algorithm are analyzed via simulation and the implementation of the cognitive radio on a commercially available smart phone is discussed. Technical hurdles and issues in implementing a handover function and a mechanism that allows a subscriber to share a private line and ensure fair billing are discussed.