Articles

On the optimal amount of experimentation in sequential decision problems

D. ROSENBERG, E. Solan, N. VIEILLE

Statistics & Probability Letters

March 2010, vol. 80, n°5-6, pp.381-385

Departments: Economics & Decision Sciences, GREGHEC (CNRS)


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


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