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 William & Keller, R Godfrey & Rady, Sven, 2003. "Strategic Experimentation with Exponential Bandits," CEPR Discussion Papers 3814, C.E.P.R. Discussion Papers.
- Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 2007.
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