Retrospective search : exploration and ambition on uncharted terrain

Author / Creator

Urgun, Can, author

Available as

Online

Summary

We study a model of retrospective search in which an agent -- a researcher, an online shopper, or a politician -- tracks the value of a product. Discoveries beget discoveries and their observations...

We study a model of retrospective search in which an agent -- a researcher, an online shopper, or a politician -- tracks the value of a product. Discoveries beget discoveries and their observations are correlated over time, which we model using a Brownian motion. The agent, a standard exponential discounter, decides the breadth and length of search. We fully characterize the optimal search policy. The optimal search scope is U-shaped, with the agent searching most ambitiously when approaching a breakthrough or when nearing search termination. A drawdown stopping boundary is optimal, where the agent ceases search whenever current observations fall a constant amount below the maximal achieved alternative. We also show special features that emerge from contracting with a retrospective searcher.

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