Bandit Problems

We survey the literature on multi-armed bandit models and their applications in economics. The multi-armed bandit problem is a statistical decision model of an agent trying to optimize his decisions while improving his information at the same time. This classic problem has received much attention in economics as it concisely models the trade-off between exploration (trying out each arm to find the best one) and exploitation (playing the arm believed to give the best payoff).

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Year of publication:	2006-01
Authors:	Bergemann, Dirk ; Valimaki, Juuso
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	One-Armed Bandit \| Multi-Armed Bandit \| Bayesian Learning \| Experimentation \| Index Policy \| Matching \| Experience Goods

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 1292 Published in Steven N. Durlauf and Lawrence E. Blume, The New Palgrave Dictionary of Economics, Vol. 1, 2nd ed., Macmillan Press, 2008, pp. 336-340 The price is None Number 1551 15 pages
Classification:	C72 - Noncooperative Games ; C73 - Stochastic and Dynamic Games ; D43 - Oligopoly and Other Forms of Market Imperfection ; D83 - Search, Learning, Information and Knowledge
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005593445