Convergence in a sequential two stage decision making process

Juan-Enrique Martínez-Legaz (1) , Antoine Soubeyran (2)

1 UAB - Universitat Autònoma de Barcelona = Autonomous University of Barcelona = Universidad Autónoma de Barcelona
2 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille

We analyze a sequential decision making process, in which at each step the decision is made in two stages. In the first stage a partially optimal action is chosen, which allows the decision maker to learn how to improve it under the new environment. We show how inertia (cost of changing) may lead the process to converge to a routine where no further changes are made. We illustrate our scheme with some economic models.

Mots clés: Sequential decision making; costs to change; convergence MSC(2010): 91B06

Domaines: Economies et finances; Sciences de l'Homme et Société; Mathématiques [math]

Juan-Enrique Martínez-Legaz, Antoine Soubeyran. Convergence in a sequential two stage decision making process. Bull. Iranian Math. Soc, 2016, 42 (7), pp.25 - 29. ⟨hal-01690175⟩