Forward‐looking experimentation of correlated alternatives
研究前瞻性决策者如何实验未知的、效用相关的备选方案，模型预测企业实验中的条件性吉布拉定律及规模与盈利的线性关系。
This paper studies how a forward‐looking decision maker experiments on unknown alternatives of correlated utilities. The utilities are modeled by a Brownian motion such that similar alternatives yield similar utilities. Experimentation trades off between the continuation value of exploration and the opportunity cost of exploitation. The optimal strategy is to continuously explore unknown alternatives and then exploit the best known alternative when the one being explored is found to be sufficiently worse than the best one. The decision maker explores unknown alternatives more quickly as they prove to be worse than the best known one. Applied to firm experimentation, my model predicts a conditional version of Gibrat's law and a linear relation between firm size and profitability.