Second Order Efficiency in the Sequential Design of Experiments

Abstract

In the sequential design of experiments an experimenter performs experiments sequentially to make an eventual inference about the true state of nature. A Bayesian formulation of this problem is considered. The parameter space is assumed finite and there are a finite number of repeatable experiments. Sufficient conditions are given for a procedure to be second order efficient as the sampling costs approach zero. The asymptotic analysis of a related Markov control problem is also presented.