We consider the problem of sequentially making decisions that are rewarded by "successes" and "failures" which can be predicted through an unknown relationship that depends on a partially controllable vector of attributes for each instance. The learner takes an active role in selecting samples from the instance pool. The goal is to maximize the probability of success, either after the offline training phase or minimizing regret in online learning. Our problem is motivated by real-world applications where observations are time consuming and/or expensive. With the adaptation of an online Bayesian linear classifier, we develop a knowledge-gradient type policy to guide the experiment by maximizing the expected value of information of labeling each alternative, in order to reduce the number of expensive physical experiments. We provide a finite-time analysis of the estimated error and demonstrate the performance of the proposed algorithm on both synthetic problems and benchmark UCI datasets.