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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

Learning to Disagree in a Game of Experimentation

Bonatti, Alessandro; Horner, Johannes - Cowles Foundation for Research in Economics, Yale University - 2015

We analyse strategic experimentation in which information arrives through fully revealing, publicly observable … improves. We analyse the role of policy interventions such as subsidies for experimentation and risk-sharing agreements. We …

Persistent link: https://www.econbiz.de/10011203001

Career Concerns and Market Structure

Bonatti, Alessandro; Horner, Johannes - Cowles Foundation for Research in Economics, Yale University - 2011

This paper analyzes the impact of market structure on career concerns. Effort increases the probability that a skilled agent achieves a one-time breakthrough. Wages are based on assessed ability and on expected output. For any wage, the agent works too little, too late. Under short-term...

Persistent link: https://www.econbiz.de/10010895652

Collaborating

Bonatti, Alessandro; Horner, Johannes - Cowles Foundation for Research in Economics, Yale University - 2009

This paper examines moral hazard in teams over time. Agents are collectively engaged in an uncertain project, and their individual efforts are unobserved. Free-riding leads not only to a reduction in effort, but also to procrastination. The collaboration dwindles over time, but never ceases as...

Persistent link: https://www.econbiz.de/10005000297

Market Experimentation and Pricing

Bergemann, Dirk; Valimaki, Juuso - Cowles Foundation for Research in Economics, Yale University - 1996

offered is unknown to the market. The market participants learn more about the true value of the product as experimentation … occurs over time. Firms set prices to induce experimentation with their product. The aggregate outcomes are public … externality leads to too much learning. Buyers do not consider the impact of their experimentation on other buyers while the …

Persistent link: https://www.econbiz.de/10005093954

Efficient Dynamic Auctions

Bergemann, Dirk; Valimaki, Juuso - Cowles Foundation for Research in Economics, Yale University - 2006

We consider the truthful implementation of the socially efficient allocation in a dynamic private value environment in which agents receive private information over time. We show that a suitable generalization of the Vickrey-Clark-Groves mechanism, based on the marginal contribution of each...

Persistent link: https://www.econbiz.de/10005593293

Experimentation in Markets

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

informational externalities among the buyers and the strategic pricing by the sellers results in excessive experimentation. If the …

Persistent link: https://www.econbiz.de/10005593440

Bandit Problems

Bergemann, Dirk; Valimaki, Juuso - Cowles Foundation for Research in Economics, Yale University - 2006

We survey the literature on multi-armed bandit models and their applications in economics. The multi-armed bandit problem is a statistical decision model of an agent trying to optimize his decisions while improving his information at the same time. This classic problem has received much...

Persistent link: https://www.econbiz.de/10005593445

Informational Herding and Optimal Experimentation

Smith, Lones; Sorensen, Peter Norman - Cowles Foundation for Research in Economics, Yale University - 2006

-person experimentation -- and 'bad herds' the typical failure of complete learning. We then analyze the analogous team equilibrium, where …

Persistent link: https://www.econbiz.de/10005762507