On the optimal amount of experimentation in sequential decision problems
We provide a tight bound on the amount of experimentation under the optimal strategy in sequential decision problems. We show the applicability of the result by providing a bound on the cut-off in a one-arm bandit problem.
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Volume (Year): 80 (2010)
Issue (Month): 5-6 (March)
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References listed on IDEAS
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- Cripps, Martin & Keller, Godfrey & Rady, Sven, 2003. "Strategic Experimentation with Exponential Bandits," Discussion Papers in Economics 4, University of Munich, Department of Economics.
- Monica Brezzi & Tze Leung Lai, 2000. "Incomplete Learning from Endogenous Data in Dynamic Allocation," Econometrica, Econometric Society, vol. 68(6), pages 1511-1516, November.
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