Strategic observation with exponential bandits

• 成果类型: Article
• 署名作者: Marlats, Chantal; Menager, Lucie
• 署名单位: Universite Paris-Pantheon-Assas
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2021.105232
• 发表日期: 2021
• 关键词: Strategic experimentation; Exponential two-armed bandits; Costly observation

摘要

We introduce strategic observation into Keller et al. (2005)'s game of experimentation with conclusive breakthroughs. There are two players who must decide when to start and when to stop observation, given that observation is costly and stopping observation is irreversible. We construct a class of symmetric Markov Perfect Equilibria in which, on path, players fully experiment before starting observation, and allocate only a fraction of the resource to the risky arm afterwards. Each equilibrium in this class outperforms the symmetric equilibrium of Keller et al. (2005) in terms of payoffs. (c) 2021 Elsevier Inc. All rights reserved.