The K-armed bandit problem with multiple priors

doi:10.1016/j.jmateco.2018.10.002

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	The K-armed bandit problem with multiple priors
	Li, Jian
刊名	JOURNAL OF MATHEMATICAL ECONOMICS
	2019-01
卷号	80 页码:22-38
关键词	Bandit problem Ambiguity Learning Search
ISSN号	0304-4068
DOI	10.1016/j.jmateco.2018.10.002
英文摘要	This paper studies the impact of ambiguity in the classic K-armed bandit problem. I show that two classic results are robust to ambiguity in the multiple-priors model: (i) In the one-armed bandit, the optimal plan is a switching strategy characterized by a multiple-priors Gittins-Jones index. (ii) The seminal Gittins-Jones theorem is generalized to the multiple-priors K-armed bandit case. Introducing ambiguity has two implications. First, in the K-armed bandit case, the incentive to experiment with an arm decreases in its own perceived ambiguity and increases in other arms' ambiguity, differing from the comparative statics on risk. This suggests that ambiguity might explain the widely observed underexperimentation in new technologies and consumer products. Second, I characterize an upper bound for the multiple-priors Gittins-Jones index, as the lower envelope of the classic single-prior Gittins-Jones index for every prior lying in the multiple-priors set. I show with a counterexample that this upper bound can be strict, and I identify sufficient conditions under which this upper bound is exact. (C) 2018 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000458343700003
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/411]
专题	上海财经大学
通讯作者	Li, Jian
作者单位	Shanghai Univ Finance & Econ, Sch Econ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Li, Jian. The K-armed bandit problem with multiple priors[J]. JOURNAL OF MATHEMATICAL ECONOMICS,2019,80:22-38.
APA	Li, Jian.(2019).The K-armed bandit problem with multiple priors.JOURNAL OF MATHEMATICAL ECONOMICS,80,22-38.
MLA	Li, Jian."The K-armed bandit problem with multiple priors".JOURNAL OF MATHEMATICAL ECONOMICS 80(2019):22-38.