Some Optimal Strategies for Bandit Problems with Beta Prior Distributions

A bandit problem with infinitely many Bernoulli arms is considered. The parameters of Bernoulli arms are independent and identically distributed random variables from a common distribution with beta(a, b). We investigate the k-failure strategy which is a modification of Robbins's stay-with-a-winner/switch-on-a-loser strategy and three other strategies proposed recently by Berry et al. (1997, Ann. Statist., 25, 2103–2116). We show that the k-failure strategy performs poorly when b is greater than 1, and the best strategy among the k-failure strategies is the 1-failure strategy when b is less than or equal to 1. Utilizing the formulas derived by Berry et al. (1997), we obtain the asymptotic expected failure rates of these three strategies for beta prior distributions. Numerical estimations and simulations for a variety of beta prior distributions are presented to illustrate the performances of these strategies.     

On Some Properties of Multiple Moduli of Continuity

For functions of several variables a property is established similar to the well-known result of S. B. Stechkin about the metric property of almost increasing functions. In the case of one variable the proof is easier than the known one.     

Approximation of Distributions by Bounded Sets

Let P be a probability distribution on a locally compact separable metric space (S,d). We study the following problem of approximation of a distribution P by a set A from a given class $\mathcal{A}\subset2^{S}$ : $$W(A,P)\equiv\int_{S}\varphi(d(x,A))P(dx)\to\min_{A\in\mathcal{A}},$$ where φ is a nondecreasing function. A special case where $\mathcal{A}$ consists of unions of bounded sets, $\mathcal{A}=\{\bigcup_{i=1}^{k}A_{i}:\Delta(A_{i})\leq K,\ i=1,\ldots,k\}$ , is considered in detail. We give sufficient conditions for the existence of an optimal approximative set and for the convergence of the sequence of optimal sets A _n found for measures P _n which satisfy P _n ? P. Current article is a follow-up to Käärik and Pärna (Acta Appl. Math. 78, 175–183, 2003; Acta Comment. Univ. Tartu. 8, 101–112, 2004) where the case of parametric sets was studied.     

Approximation of Distributions by Parametric Sets

Let P be a probability distribution on a separable metric space (S,d). We study the following problem of approximation of a distribution P by a set from a given class A2 ^S : W(A,P) _S (d(x,A))P(dx)min _AA , where is a nondecreasing function. A special case where A is a parametric class A={A():T} is considered in detail. Our main interest is to obtain convergence results for sequences {A ^* _n }, where A ^* _n is an optimal set for a measure P _n satisfying P _n P, as n.     

Dependence Properties of Multivariate Mixture Distributions and Their Applications

Consider a multivariate mixture model where the random variables X ₁, ..., X _n given (₁, ..., _n ), are conditionally independent. Conditions are obtained under which different kinds of positive dependence hold among X _i 's. The results obtained are applied to a variety of problems including the concomitants of order statistics and of record values; and to frailty models.     

On finite groups whose every proper normal subgroup is a union of a given number of conjugacy classes

Let G be a finite group andA be a normal subgroup ofG. We denote by ncc(A) the number ofG-conjugacy classes ofA andA is calledn-decomposable, if ncc(A)= n. SetK _G = {ncc(A)|A ⊲ G}. LetX be a non-empty subset of positive integers. A groupG is calledX-decomposable, ifK _G =X. Ashrafi and his co-authors [1-5] have characterized theX-decomposable non-perfect finite groups forX = {1, n} andn ≤ 10. In this paper, we continue this problem and investigate the structure ofX-decomposable non-perfect finite groups, forX = {1, 2, 3}. We prove that such a group is isomorphic to Z₆, D₈, Q₈, S₄, SmallGroup(20, 3), SmallGroup(24, 3), where SmallGroup(m, n) denotes the mth group of ordern in the small group library of GAP [11].     

On Some Extremal Properties of Lagrange Interpolatory Polynomials

In this paper, we will show that Lagrange interpolatory polynomials are optimal for solving some approximation theory problems concerning the finding of linear widths.In particular, we will show that

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, where _n is a set of the linear operators with finite rank n+1 defined on −1,1], and where _n+1 denotes the set of polynomials p=∑_i=0ⁿ⁺¹a_ixⁱ of degreen+1 such that a_n+11. The infimum is achieved for Lagrange interpolatory polynomial for nodes .     

Multiplicative B-Product and Its Properties

The author considers a special kind of B-product which is called the multiplicative B-product. The most important property of multiplicative B-product is that it preserves multiplicativity of functions.     

On Some Rings of Arithmetical Functions

In this paper, we consider several constructions which from a given B-product * _B lead to another one We shall be interested in finding what algebraic properties of the ring are shared also by the ring . In particular, for some constructions the rings R _B and will be isomorphic and therefore have the same algebraic properties.     

Homogeneity of Certain Invariant Distributions on the Lie Algebra of p-adic GLn

Let F be a non-Archimedean local field with ring of integers R and prime ideal . Suppose T is a GL _n (F)-invariant distribution on =M _n (F), the Lie algebra of GL _n (F). If T has support in the set of topologically nilpotent elements, then the restriction of T to the set of functions which are compactly supported and invariant under M _n ( ) may be expressed as a linear combination of nilpotent orbital integrals restricted to the same set of functions.     

Properties A and B of nth Order Linear Differential Equations with Deviating Argument

Sufficient conditions for the nth order linear differential equation

Continuity of Operators Intertwining with Convolution Operators

Let G be a locally compact abelian group, let μ be a bounded complex-valued Borel measure on G, and let T_μ be the corresponding convolution operator on L¹(G). Let X be a Banach space and let S be a continuous linear operator on X. Then we show that every linear operator Φ: X→L¹(G) such that ΦS=T_μΦ is continuous if and only if the pair (S,T_μ) has no critical eigenvalue.     

Performance Analysis with Truncated Heavy-Tailed Distributions

This paper deals with queues and insurance risk processes where a generic service time, resp. generic claim, has the form U ∧ K for some r.v. U with distribution B which is heavy-tailed, say Pareto or Weibull, and a typically large K, say much larger than . We study the compound Poisson ruin probability ψ(u) or, equivalently, the tail of the M/G/1 steady-state waiting time W. In the first part of the paper, we present numerical values of ψ(u) for different values of K by using the classical Siegmund algorithm as well as a more recent algorithm designed for heavy-tailed claims/service times, and compare the results to different approximations of ψ(u) in order to figure out the threshold between the light-tailed regime and the heavy-tailed regime. In the second part, we investigate the asymptotics as K → ∞ of the asymptotic exponential decay rate γ = γ ^(K) in a more general truncated Lévy process setting, and give a discussion of some of the implications for the approximations. AMS 2000 Subject Classification Primary 68M20, Secondary 60K25 †Partially supported by MaPhySto—A Network in Mathematical Physics and Stochastics, founded by the Danish National Research Foundation. An erratum to this article is available at .     

Absolutely continuous functions of several variables and diffeomorphisms

In [4], a class of absolutely continuous functions of d-variables, motivated by applications to change of variables in an integral, has been introduced. The main result of this paper states that absolutely continuous functions in the sense of [4] are not stable under diffeomorphisms. We also show an example of a function which is absolutely continuous with respect cubes but not with respect to balls.     

The Rate of Convergence for Subexponential Distributions and Densities

A distribution function F on the nonnegative real line is called subexponential if lim_x(1-F ^*n (x)/(1 - F(x)) = n for all n 2, where F ^*n denotes the nfold Stieltjes convolution of F with itself. In this paper, we consider the rate of convergence in the above definition and in its density analogue. Among others we discuss the asymptotic behavior of the remainder term R _n (x) defined by R _n (x) = 1 - F*n(x) - n(1 - F(x)) and of its density analogue r_n (x) = -(R_n (x))'. Our results complement and complete those obtained by several authors. In an earlier paper, we obtained results of the form _n(x) = O(1)f(x)R(x), where f is the density of F and R(x) = ₀ ^x (1-F(y))dy. In this paper, among others we obtain asymptotic expressions of the form R _n(x)= ₂ ⁿ R₂(x) + O(1)(-f'(x))R²(x) where f' is the derivative of f.     

On Continuity of the Pearson Statistic and Sample Quantiles

Convergence with probability one (in probability) of sequences of the sample quantiles and the Pearson statistic that are formed by columns of N× n arrays of random variables and bivariate random vectors respectively is established, n→ ∞. Two applications for the continuity of the Pearson statistics, when sampling is only possible along a sequence converging to an inaccessible targeting value, are presented     

Stationary Distributions of GI/M/c Queue with PH Type Vacations

We study a GI/M/c type queueing system with vacations in which all servers take vacations together when the system becomes empty. These servers keep taking synchronous vacations until they find waiting customers in the system at a vacation completion instant.The vacation time is a phase-type (PH) distributed random variable. Using embedded Markov chain modeling and the matrix geometric solution methods, we obtain explicit expressions for the stationary probability distributions of the queue length at arrivals and the waiting time. To compare the vacation model with the classical GI/M/c queue without vacations, we prove conditional stochastic decomposition properties for the queue length and the waiting time when all servers are busy. Our model is a generalization of several previous studies.     

On Some Properties of Randomly Indexed Sequences of Random Elements

Let be a probability space with a nonatomic measure P and let (S,ρ) be a separable complete metric space. Let {N _n ,n≥1} be an arbitrary sequence of positive-integer valued random variables. Let {F _k ,k≥1} be a family of probability laws and let X be some random element defined on and taking values in (S,ρ). In this paper we present necessary and sufficient conditions under which one can construct an array of random elements {X _n,k ,n,k≥1} defined on the same probability space and taking values in (S,ρ), and such that , and moreover as  n→∞. Furthermore, we consider the speed of convergence to X as n→∞.      

Some Expansions in Basic Fourier Series and Related Topics

We consider explicit expansions of some elementary and q-functions in basic Fourier series introduced recently by Bustoz and Suslov. Natural q-extensions of the Bernoulli and Euler polynomials, numbers, and the Riemann zeta function are discussed as a by-product.     

Some morphisms of modules over the ring of pseudorational numbers

We study various morphisms of modules over the ring of pseudorational numbers R. We obtain a criterion for a quasi-isomorphism between finitely generated R-modules, introduce the concept of a pseudohomomorphism, and prove that the Krull-Remak-Schmidt theorem holds in the category of pseudohomomorphisms of finitely generated R-modules.