Consider the problem faced by a decision maker (DM) who must select the order in which to evaluate the unknown alternatives displayed by an online search engine. DMs do not know the distribution of the realizations that result from clicking on an alternative and must therefore account for the...

The current paper defines the optimal sequential information gathering structure of a rational utility maximizer decision maker in the simplest non-trivial theoretical scenario, where the decision maker is allowed to acquire only two pieces of information from a set of multidimensional goods. We...