Poissonian two-armed bandit: a new approach

DOI10.1134/s0032946022020065zbMath1528.62054MaRDI QIDQ6173456

Alex V. Kolnogorov

Publication date: 21 July 2023

Published in: Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

batch processingasymptotic main theorem of game theoryBayesian and minimax approachesPoissonian two-armed bandit

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Probabilistic games; gambling (91A60)

Cites Work

• On a limiting description of robust parallel control in a random environment
• Finding minimax strategy and minimax risk in a random environment (the two-armed bandit problem)
• Adaptive treatment allocation and the multi-armed bandit problem
• Continuous multi-armed bandits and multiparameter processes
• Gaussian two-armed bandit: limiting description
• An Asymptotic Minimax Theorem for the Two Armed Bandit Problem
• A Bayes Sequential Sampling Inspection Plan
• Some Remarks on the Two-Armed Bandit
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