Comparisons of Sequential Experiments for Additively Separable Problems

TL;DR

This paper establishes necessary and sufficient conditions for one sequential experiment to dominate another across various classes of dynamic decision problems, focusing on the timing of information in additively separable problems.

Contribution

It provides a comprehensive theoretical framework for comparing sequential experiments in additively separable, discounted, and fixed discount factor problems.

Findings

Conditions for experiment dominance are characterized precisely.

Timing of information arrival impacts decision preferences.

Results apply broadly across different dynamic decision problem classes.

Abstract

For three natural classes of dynamic decision problems; 1. additively separable problems, 2. discounted problems, and 3. discounted problems for a fixed discount factor; we provide necessary and sufficient conditions for one sequential experiment to dominate another in the sense that the dominant experiment is preferred to the other for any decision problem in the specified class. We use these results to study the timing of information arrival in additively separable problems.