Randomization and simplification in dynamic decision-making

• 成果类型: Article
• 署名作者: Kalai, E; Solan, E
• 署名单位: Northwestern University; Northwestern University; Tel Aviv University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00072-3
• 发表日期: 2003
• 页码: 251-264
• 关键词: dynamic decision-making; randomization; simplification

摘要

Randomization adds beneficial flexibility to the construction of optimal simple plans in dynamic environments. A decision-maker, restricted to the use of simple plans, may find a stochastic plan that strictly outperforms all deterministic ones. This is true even in noninteractive deterministic environments where the decision-maker's choices have no influence on his signals nor on the future evolution of the system. We describe a natural decomposition of simple plans into two components: an action selection rule and a behavior modification rule. In noninteractive environments optimal simple plans do not require randomization in the action selection rule. Only randomization in the behavior modification rule may be necessary. (C) 2003 Elsevier Inc. All rights reserved.