Should-Read: When it is optimal not to experiment but instead to order (what you think is) the best thing on the menu? It is optimal surprisingly often—or so says the best job-market paper I have read this year; Xiaosheng Mu, Annie Liang, and Vasilis Syrgkanis: Dynamic Information Acquisition from Multiple Sources: "Decision-makers often aggregate information across many sources, each of which provides relevant information...
...We introduce a dynamic learning model where a decision-maker learns about unknown states by sequentially sampling from a finite set of Gaussian signals with arbitrary correlation. Such a setting describes sequential search between similar products, as well as reading news articles with correlated biases. We study the optimal sequence of information acquisitions. Assuming the final decision depends linearly on the states, we show that myopic signal acquisitions are nonetheless optimal at sufficiently late periods. For classes of informational environments that we describe, the myopic rule is optimal from period 1. These results hold independently of the decision problem and its (endogenous or exogenous) timing. We apply these results to characterize dynamic information acquisition in games...
