Negatively Correlated Bandits
By N. Klein, Sven Rady. 2011
126 citations recorded by the source corpus.
We analyze a two-player game of strategic experimentation with two-armed bandits. Each player has to decide in continuous time whether to use a safe arm with a known payoff or a risky arm whose likelihood of delivering payoffs is initially unknown. The quality of the risky arms is perfectly negatively correlated between players. In marked contrast to the case where both risky arms are of the same type, we find that learning will be complete in any Markov perfect equilibrium if the stakes exceed a certain threshold, and that all equilibria are in cutoff strategies. For low stakes, the equilibrium is unique, symmetric, and coincides with the planner's solution. For high stakes, the equilibrium is unique, symmetric, and tantamount to myopic behavior. For intermediate stakes, there is a continuum of equilibria.
Subfields: Management Science and Operations Research, Safety Research
View Paper: https://www.semanticscholar.org/paper/ce8cc07d0a1174a3c876a060fd2ae2289372d7d3
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Management Science and Operations Research
In Safety Research
Citations in the corpus
- Reputation for Quality (2013, methodology): “Finally, with its focus on Poisson signals, our paper is related to the strategic learning literature, for example, Keller, Rady, and Cripps (2005), Keller and Rady (2010), Klein and Rady (2011).”
- Optimal Dynamic Allocation of Attention (2018, methodology): “The negatively-correlated bandits model of Klein and Rady (2011) parallels the choice between two biased Poisson processes studied in the current paper.”
- Strategic Experimentation with Poisson Bandits (2009, background): “Klein and Rady (2008) and Klein (2010), by contrast, consider two players who face risky arms of opposite types, one good and one bad.”