Randomization and Simplification
Randomization may add beneficial flexibility to the construction of optimal simple decision rules in dynamic environments. A decision maker, restricted to the use of simple rules, may find a stochastic rule that strictly outperforms all deterministic ones. This is true even in highly separable Markovian environments where the set of feasible choices is stationary and the decision maker's choices have no influence on future payoff functions. In separable environments, however, the period selection of an action can still be deterministic; only the transitions in the evolution of his behavior may require randomization.
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- Piccione, Michele & Rubinstein, Ariel, 1997.
"On the Interpretation of Decision Problems with Imperfect Recall,"
Games and Economic Behavior,
Elsevier, vol. 20(1), pages 3-24, July.
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- R. Aumann, 2010.
"Subjectivity and Correlation in Randomized Strategies,"
Levine's Working Paper Archive
389, David K. Levine.
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- AUMANN, Robert J., . "Subjectivity and correlation in randomized strategies," CORE Discussion Papers RP 167, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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