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On the optimal amount of experimentation in sequential decision problems

Abstract : 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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Submitted on : Thursday, October 21, 2010 - 4:35:42 PM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

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Nicolas Vieille, Dinah Rosenberg, Eilon Solan. On the optimal amount of experimentation in sequential decision problems. Statistics and Probability Letters, Elsevier, 2010, 80 (5-6), pp.381-385. ⟨10.1016/j.spl.2009.11.014⟩. ⟨hal-00528414⟩

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