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Disentangling Exploration from Exploitation

Author

Listed:
  • Alessandro Lizzeri
  • Eran Shmaya
  • Leeat Yariv

Abstract

Starting from Robbins (1952), the literature on experimentation via multi-armed bandits has wed exploration and exploitation. Nonetheless, in many applications, agents' exploration and exploitation need not be intertwined: a policymaker may assess new policies different than the status quo; an investor may evaluate projects outside her portfolio. We characterize the optimal experimentation policy when exploration and exploitation are disentangled in the case of Poisson bandits, allowing for general news structures. The optimal policy features complete learning asymptotically, exhibits lots of persistence, but cannot be identified by an index à la Gittins. Disentanglement is particularly valuable for intermediate parameter values.

Suggested Citation

  • Alessandro Lizzeri & Eran Shmaya & Leeat Yariv, 2024. "Disentangling Exploration from Exploitation," NBER Working Papers 32424, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:32424
    Note: EH IO LE LS ME POL
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    Cited by:

    1. Polina Borisova & Nikhil Vellodi, 2024. "A Theory of Self-Prospection," PSE Working Papers halshs-04721098, HAL.
    2. Mariagiovanna Baccara & Gilat Levy & Ronny Razin, 2025. "Research Waves," CESifo Working Paper Series 12248, CESifo.

    More about this item

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • O35 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Social Innovation

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