TY - JOUR
T1 - Optimal experimentation in signal-dependent decision problems
AU - Datta, Manjira
AU - Mirman, Leonard J.
AU - Schlee, Edward
N1 - Copyright:
Copyright 2016 Elsevier B.V., All rights reserved.
PY - 2002
Y1 - 2002
N2 - The literature on experimentation and learning typically imposes a special dynamic structure: The only connection between periods is the updating of beliefs. Hence, both the present action and present signal realization only affect the future by changing the distribution of future beliefs. In many dynamic problems, however, either the present action or the present signal realization may enter future payoffs directly and not just through future beliefs: This is called signal dependence. We analyze optimal experimentation, under signal dependence, and show that experimentation may reduce information. We also provide sufficient conditions on the primitives for information-increasing experimentation.
AB - The literature on experimentation and learning typically imposes a special dynamic structure: The only connection between periods is the updating of beliefs. Hence, both the present action and present signal realization only affect the future by changing the distribution of future beliefs. In many dynamic problems, however, either the present action or the present signal realization may enter future payoffs directly and not just through future beliefs: This is called signal dependence. We analyze optimal experimentation, under signal dependence, and show that experimentation may reduce information. We also provide sufficient conditions on the primitives for information-increasing experimentation.
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U2 - 10.1111/1468-2354.t01-1-00028
DO - 10.1111/1468-2354.t01-1-00028
M3 - Article
AN - SCOPUS:0036044633
SN - 0020-6598
VL - 43
SP - 577
EP - 607
JO - International Economic Review
JF - International Economic Review
IS - 2
ER -