On ergodic two-armed bandits
type: Item
instance of: scholarly article
title: On ergodic two-armed bandits
zbMATH Open document ID: 1275.62056
DOI: 10.1214/10-AAP751
author: Pierre Tarrès
author: P. Vandekerkhove
published in: The Annals of Applied Probability
publication date: 2012-05-13T00:00:00Z
full work available at URL: https://arxiv.org/abs/0905.0463
full work available at URL: https://projecteuclid.org/euclid.aoap/1333372004
review text: This paper focuses on the Narenda two-armed bandit algorithm under assumption that the payoff sequences are unknown and deterministic. The authors consider the Narenda algorithm under the conditions required by \textit{D. Lamberton, G. Pagès} and \textit{P. Tarrès} [Ann. Appl. Probab. 14, No. 3, 1424--1454 (2004; Zbl 1048.62079)] without monotonicity and under weak ergodic assumptions. The obtained results point out that, even with strongly dependent outcomes, the payoff probability accumulates statistical information on the ergodic behaviour of the two arms to induce a corresponding appropriate decision.
reviewed by: Krzysztof Piasecki
Mathematics Subject Classification ID: 62L05
Mathematics Subject Classification ID: 62L20
Mathematics Subject Classification ID: 62B10
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 6034161
zbMATH Keywords: convergence
zbMATH Keywords: stochastic algorithms
MaRDI profile type: Publication
arXiv ID: 0905.0463
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description: scientific article; zbMATH DE number 6034161