A penalized bandit algorithm

Details A penalized bandit algorithm A penalized bandit algorithm

2005-10-18

arxiv.org/abs/math/0510384v1

Mathematics

Probability

31 pages

Scientific paper

We study a two armed-bandit algorithm with penalty. We show the convergence
of the algorithm and establish the rate of convergence. For some choices of the
parameters, we obtain a central limit theorem in which the limit distribution
is characterized as the unique stationary distribution of a discontinuous
Markov process.

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