We test people's ability to optimize performance across two concurrent tasks. Participants performed a number entry task while controlling a randomly moving cursor with a joystick. Participants received explicit feedback on their performance on these tasks in the form of a single combined score. This payoff function was varied between conditions to change the value of one task relative to the other. We found that participants adapted their strategy for interleaving the two tasks, by varying how long they spent on one task before switching to the other, in order to achieve the near maximum payoff available in each condition. In a second experiment, we show that this behavior is learned quickly (within 2–3 min over several discrete trials) and remained stable for as long as the payoff function did not change. The results of this work show that people are adaptive and flexible in how they prioritize and allocate attention in a dual‐task setting. However, it also demonstrates some of the limits regarding people's ability to optimize payoff functions.