Disentangling Exploration from Exploitation

Alessandro Lizzeri, Eran Shmaya and Leeat Yariv

No 19058, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Starting from Robbins (1952), the literature on experimentation via multi-armed bandits has wed exploration and exploitation. Nonetheless, in many applications, agents’ exploration and exploitation need not be intertwined: a policymaker may assess new policies different than the status quo; an investor may evaluate projects outside her portfolio. We characterize the optimal experimentation policy when exploration and exploitation are disentangled in the case of Poisson bandits, allowing for general news structures. The optimal policy features complete learning asymptotically, exhibits lots of persistence, but cannot be identified by an index à la Gittins. Disentanglement is particularly valuable for intermediate parameter values.

Keywords: Exploration and Exploitation; Poisson Bandits (search for similar items in EconPapers)
JEL-codes: C73 D81 D83 O35 (search for similar items in EconPapers)
Date: 2024-05
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Related works:
Working Paper: Disentangling Exploration from Exploitation (2024)
Working Paper: Disentangling Exploration from Exploitation (2024)
Working Paper: Disentangling Exploration from Exploitation (2024)
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