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On the optimal amount of experimentation in sequential decision problems

  • Rosenberg, Dinah
  • Solan, Eilon
  • Vieille, Nicolas

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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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 80 (2010)
Issue (Month): 5-6 (March)
Pages: 381-385

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Handle: RePEc:eee:stapro:v:80:y:2010:i:5-6:p:381-385
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References listed on IDEAS
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  1. Godfrey Keller & Sven Rady & Martin Cripps, 2005. "Strategic Experimentation with Exponential Bandits," Econometrica, Econometric Society, vol. 73(1), pages 39-68, 01.
  2. Bergemann, Dirk & Valimaki, Juuso, 2000. "Experimentation in Markets," Review of Economic Studies, Wiley Blackwell, vol. 67(2), pages 213-34, April.
  3. Monica Brezzi & Tze Leung Lai, 2000. "Incomplete Learning from Endogenous Data in Dynamic Allocation," Econometrica, Econometric Society, vol. 68(6), pages 1511-1516, November.
  4. Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 2004. "Social Learning in One-Arm Bandit Problems," Discussion Papers 1396, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  5. Rosenberg, Dinah & Solan, Eilon & Vieille, Nicolas, 2009. "Informational externalities and emergence of consensus," Games and Economic Behavior, Elsevier, vol. 66(2), pages 979-994, July.
  6. Patrick Bolton & Christopher Harris, 1999. "Strategic Experimentation," Econometrica, Econometric Society, vol. 67(2), pages 349-374, March.
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