How Fast Is the Bandit?

DOI10.1080/07362990802007202MaRDI QIDQ3506304zbMATH OpenOpenAlexFDO

Authors Damien Lamberton, Gilles Pagès

Publication date 12 June 2008

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0510351

zbMATH Keywords

stochastic approximationasset allocationlearning automatatwo-armed bandit algorithm

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Stochastic approximation (62L20) Adaptive control/observation systems (93C40)

Abstract: 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.

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Asymptotics in randomized urn models
• Decreasing step Stochastic algorithms: a.s. behaviour of weighted empirical measures
• Learning Automata - A Survey
• Nonconvergence to unstable points in urn models and stochastic approximations
• On the linear model with two absorbing barriers
• Use of Stochastic Automata for Parameter Self-Optimization with Multimodal Performance Criteria
• Weak convergence rates for stochastic approximation with application to multiple targets and simulated annealing
• When can the two-armed bandit algorithm be trusted?

Cited in

(5)

• Regret bounds for Narendra-Shapiro bandit algorithms
• Nonlinear randomized urn models: a stochastic approximation viewpoint
• When can the two-armed bandit algorithm be trusted?
• On ergodic two-armed bandits
• Convergence in models with bounded expected relative hazard rates

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