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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- 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.
- Godfrey Keller & Martin Cripps, 2003.
"Strategic Experimentation with Exponential Bandits,"
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143, University of Oxford, Department of Economics.
- Godfrey Keller & Sven Rady & Martin Cripps, 2005. "Strategic Experimentation with Exponential Bandits," Econometrica, Econometric Society, vol. 73(1), pages 39-68, 01.
- Cripps, Martin & Keller, Godfrey & Rady, Sven, 2003. "Strategic Experimentation with Exponential Bandits," Discussion Papers in Economics 4, University of Munich, Department of Economics.
- Cripps, Martin William & Keller, R Godfrey & Rady, Sven, 2003. "Strategic Experimentation with Exponential Bandits," CEPR Discussion Papers 3814, C.E.P.R. Discussion Papers.
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