A penalized bandit algorithm
Probability
2016-08-16 v1
Abstract
We study a two armed-bandit algorithm with penalty. We show the convergence of the algorithm and establish the rate of convergence. For some choices of the parameters, we obtain a central limit theorem in which the limit distribution is characterized as the unique stationary distribution of a discontinuous Markov process.
Keywords
Cite
@article{arxiv.math/0510384,
title = {A penalized bandit algorithm},
author = {Damien Lamberton and Gilles Pagès},
journal= {arXiv preprint arXiv:math/0510384},
year = {2016}
}
Comments
31 pages