Details

Autor(en) / Beteiligte

• Balvers, Ronald J.
• Cosimano, Thomas F.

Titel

Periodic learning about a hidden state variable

Ist Teil von

• Journal of economic dynamics & control, 1993-09, Vol.17 (5), p.805-827

Ort / Verlag

Amsterdam: Elsevier B.V

Erscheinungsjahr

1993

Quelle

ScienceDirect

Beschreibungen/Notizen

• In active learning models the value function is necessarily convex in the priors. Hence, in combination with a concave objective, the decision problem need not become concave so that nonregularity problems are inherent. This paper considers an objective that unambiguously implies a quasi-convex decision problem and highlights the effect of the inherent nonregularities on active learning. A trigger policy for learning is shown to be optimal: the minimum amount of learning is optimal until uncertainty surpasses a critical value. At this trigger point the maximum amount of learning is chosen, uncertainty falls temporarily, and the cycle then repeats itself.