How fast is the bandit?
概率论
2016-08-16 v1
摘要
In this paper we investigate the rate of convergence of the so-called two-armed bandit algorithm in a financial context of asset allocation. The behaviour of the algorithm turns out to be highly non-standard: no CLT whatever the time scale, possible existence of two rate regimes.
引用
@article{arxiv.math/0510351,
title = {How fast is the bandit?},
author = {Damien Lamberton and Gilles Pagès},
journal= {arXiv preprint arXiv:math/0510351},
year = {2016}
}