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.
Volume (Year): 80 (2010)
Issue (Month): 5-6 (March)
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1396, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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