On the optimal amount of experimentation in sequential decision problems

Dinah Rosenberg, Eilon Solan () and Nicolas Vieille ()

Statistics & Probability Letters, 2010, vol. 80, issue 5-6, 381-385

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.

Date: 2010
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