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Wald Revisited: The Optimal Level of Experimentation

Moscarini, Giuseppe; Smith, Lones - Cowles Foundation for Research in Economics, Yale University - 1998

This paper revisits Wald's (1947) sequential experimentation paradigm, now assuming that an impatient decision maker … irreversible action. We translate this natural discrete time experimentation story into a tractable control of variance for a … continuous time diffusion. Here we robustly characterize the optimal experimentation level: It is rising in the confidence about …

Persistent link: https://www.econbiz.de/10005762616

Stationary Multi Choice Bandit Problems

Bergemann, Dirk; Vaimaki, Juuso - Cowles Foundation for Research in Economics, Yale University - 1999

This note shows that the optimal choice of k simultaneous experiments in a stationary multi-armed bandit problem can be characterized in terms of the Gittins index of each arm. The index characterization remains equally valid after the introduction of switching costs.

Persistent link: https://www.econbiz.de/10005762526

Gradual learning from incremental actions

Laiho, Tuomas; Murto, Pauli; Salmi, Julia - 2025

We introduce a collective experimentation problem where a continuum of agents choose the timing of irreversible actions …

Persistent link: https://www.econbiz.de/10015327135

Gradual learning from incremental actions

Laiho, Tuomas; Murto, Pauli; Salmi, Julia - 2025

We introduce a collective experimentation problem where a continuum of agents choose the timing of irreversible actions …

Persistent link: https://www.econbiz.de/10015186295

Gradual learning from incremental actions

Laiho, Tuomas; Murto, Pauli; Salmi, Julia - In: Theoretical Economics 20 (2025) 1, pp. 93-130

We introduce a collective experimentation problem where a continuum of agents choose the timing of irreversible actions …

Persistent link: https://www.econbiz.de/10015419689

Gradual learning from incremental actions

Laiho, Tuomas; Murto, Pauli; Salmi, Julia - In: Theoretical economics : TE ; an open access journal in … 20 (2025) 1, pp. 93-130

We introduce a collective experimentation problem where a continuum of agents choose the timing of irreversible actions …

Persistent link: https://www.econbiz.de/10015332590

Prolonged learning and hasty stopping: The Wald problem with ambiguity

Auster, Sarah; Che, Yeon-Koo; Mierendorff, Konrad - 2022

This paper studies sequential information acquisition by an ambiguity-averse decision maker (DM), who decides how long to collect information before taking an irreversible action. The agent optimizes against the worst-case belief and updates prior by prior. We show that the consideration of...

Persistent link: https://www.econbiz.de/10013480172

The Value of (Bounded) Memory in a Changing World

Monte, Daniel; Said, Maher - 2013

This paper explores the value of memory in decision making in dynamic environments. We examine the decision problem faced by an agent with bounded memory who receives a sequence of signals from a partially observable Markov decision process. We characterize environments in which the optimal...

Persistent link: https://www.econbiz.de/10015237432

Asset pricing under rational learning about rare disasters

Koulovatianos, Christos; Wieland, Volker - 2011

This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors’ information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...

Persistent link: https://www.econbiz.de/10010368587

How to take an exam if you must: Decision under Deadline

Huynh, Hsueh-Ling; Majumdar, Sumon - 2006

This paper uses the example of an exam to model multi-dimensional search under a deadline. When the dimension is two, an order-invariance property allows simple characterization of the optimal search policy. Behavior is shown to be highly sensitive to changes in the deadline, and a wide variety...

Persistent link: https://www.econbiz.de/10011940733