Exploring a Branching Structure: A Bandit Problem with Correlated Pay-offs
This paper presents a model of a search process for the best outcome of many multi-stage projects. The branching structure of the search environment is such that the pay-offs to various actions are correlated; nevertheless, it is shown that the optimal strategy is given by a simple reservation price rule. A simple model of R&D is provided as an example.
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|Date of creation:||1994|
|Date of revision:|
|Contact details of provider:|| Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp|
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