How Fast Is the Bandit? |
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| Authors: | Damien Lamberton |
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| Institution: | Laboratoire d'Analyse et de Mathématíques Appliqúees, UMR 8050 , Universite Paris-Est Marne-la-Valleé , Marne-10-Valle, Cedex, France |
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| Abstract: | Abstract In this article we investigate the rate of convergence of the so-called two-armed bandit algorithm. The behavior of the algorithm turns out to be highly non standard: no central limit theorem, possible occurrence of two different rates of convergence with positive probability. |
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| Keywords: | Asset allocation Learning automata Stochastic approximation Two-armed bandit algorithm |
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