Classical conditioning has been going on for thousands, perhaps millions, of years. However, the first DOCUMENTED case of classical conditioning was that of Pavlov's dogs. The story of Pavlov's dogs is summarized briefly below:
Once upon a time, there was a Russian physiologist named Ivan Pavlov. Pavlov wanted to study digestive processes in dogs. At the time our story begins, he was studying production of saliva in dogs. (Salivation is part of the digestive process. An enzyme in saliva, amylase, begins the breakdown of starches.) To do this, Pavlov was performing some of the most boring research ever known to man. Specifically, he had dogs in a special restraining apparatus, with tubes inserted into their salivary glands. He then put food in their mouths and counted how many drops of saliva they produced. Initially, the dogs only salivated when the food was actually placed in their mouths. (Food, the US, triggered salivation, the UR.) After the dogs had gotten accustomed to the research situation, however, Pavlov noticed that something interesting was happening. The dogs now salivated not only when food was actually placed in their mouths, but also prior to food being placed in their mouths, particularly in response to any stimulus associated with food preparation, such as the sound of food being prepared. (During conditioning, food in the mouth, the US, was paired with various stimuli associated with food preparation, the CS. After conditioning, stimuli associated with food presentation, the CS, now elicited salivation, the CR.) However, since these stimuli are often paired with food presentation, Pavlov was not sure that he was seeing a completely novel response. He decided to see whether he could take a stimulus that he could demonstrate was neutral and, by pairing it with putting food in the dog's mouth, cause the dog to salivate in response to the previously neutral stimulus. Pavlov chose the sound of a bell as the initially neutral stimulus. He rang the bell many times and was able to demonstrate convincingly that dogs did not naturally salivate in response to the bell. He then rang the bell just prior to putting food (the US) in the dogs' mouths. The dogs continued to salivate (UR) in response to the food being placed in their mouths. After presenting the food together with the sound of the bell many times, he then rang the bell without putting food in the dogs' mouths. The dogs now salivated (UR) in response to the sound of the bell (CS).
The ending: Of course, the dogs would not continue to salivate in response to the bell forever. If the sound of the bell was never paired with food-in-the-mouth again, salivation in response to the sound of the bell would have gradually decreased and disappeared. In classical conditioning, the disappearance of the CR when the CS is no longer paired with the US is called extinction.
The story of Pavlov's dogs is summarized in diagram form below:

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