A common value experimentation with multiarmed bandits

DOI10.1155/2018/4791590zbMath1427.91075OpenAlexW2883641336MaRDI QIDQ1720971

Xiujuan Gao, Hao Liang, Tong Wang

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/4791590

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60) Experimental studies (91A90)

Cites Work

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• Small-gain control method for stochastic nonlinear systems with stochastic iISS inverse dynamics
• Gittins indices in the dynamic allocation problem for diffusion processes
• Common value experimentation
• Backstepping controller design for a class of stochastic nonlinear systems with Markovian switching
• Lévy bandits: Multi-armed bandits driven by Lévy processes
• Output feedback stabilization of stochastic feedforward nonlinear time-delay systems with unknown output function
• The Multi-Armed Bandit Problem: Decomposition and Computation
• Experimentation in Markets
• Strategic Experimentation
• Lévy Processes and Stochastic Calculus
• Bandit Problems with Lévy Processes
• Some aspects of the sequential design of experiments

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