How fast is the bandit?

Details How fast is the bandit? How fast is the bandit?

2005-10-17

arxiv.org/abs/math/0510351v1

Mathematics

Probability

Scientific paper

In this paper we investigate the rate of convergence of the so-called
two-armed bandit algorithm in a financial context of asset allocation. The
behaviour of the algorithm turns out to be highly non-standard: no CLT whatever
the time scale, possible existence of two rate regimes.

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