Optimal Learning with Endogenous Data.
This paper is concerned with the need for, and the implications of, $-optimality in learning problems. The authors consider a control problem in which a Bayesian decisionmaker faces a trade-off between expected current reward and accumulation of information. An example showing the need for the notion of $-optimality and the possibility of discontinuous transition functions is given. It is shown that there is always an $-optimal policy that allows the decisionmaker to learn any identified parameters, but that there are other $-optimal policies with very different limit behavior. Copyright 1989 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
Year of publication: |
1989
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Authors: | Easley, David ; Kiefer, Nicholas M |
Published in: |
International Economic Review. - Department of Economics. - Vol. 30.1989, 4, p. 963-78
|
Publisher: |
Department of Economics |
Saved in:
Online Resource
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