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Bandit Problems

We survey the literature on multi-armed bandit models and their applications in economics. The multi-armed bandit problem is a statistical decision model of an agent trying to optimize his decisions while improving his information at the same time. This classic problem has received much attention in economics as it concisely models the trade-off between exploration (trying out each arm to find the best one) and exploitation (playing the arm believed to give the best payoff).

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File URL: http://cowles.econ.yale.edu/P/cd/d15b/d1551.pdf
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Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1551.

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Length: 15 pages
Date of creation: Jan 2006
Date of revision:
Publication status: Published in Steven N. Durlauf and Lawrence E. Blume, The New Palgrave Dictionary of Economics, Vol. 1, 2nd ed., Macmillan Press, 2008, pp. 336-340
Handle: RePEc:cwl:cwldpp:1551
Note: CFP 1292
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