On the optimal amount of experimentation in sequential decision problems

Nicolas Vieille (1) , Dinah Rosenberg (1) , Eilon Solan (2)

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
2 TAU - School of Mathematical Sciences [Tel Aviv]

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.

Mots clés: sequential decision problem

Domaines: Economie et sciences de la décision

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