- Abstract:
-
We investigate the asymptotic behavior of one version of the so-called two-armed bandit algorithm. It is an example of stochastic approximation procedure whose associated ODE has both a repulsive and an attractive equilibrium, at which the procedure is noiseless. We show that if the gain parameter is constant or goes to 0 not too fast, the algorithm does fall in the noiseless repulsive equilibrium with positive probability, whereas it always converges to its natural attractive target when the...
Expand abstract - Publication status:
- Published
- Publisher copy:
- 10.1214/105051604000000350
-
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- Journal:
- ANNALS OF APPLIED PROBABILITY
- Volume:
- 14
- Issue:
- 3
- Pages:
- 1424-1454
- Publication date:
- 2004-08-05
- DOI:
- EISSN:
-
1050-5164
- ISSN:
-
1050-5164
- URN:
-
uuid:6c38dcc1-ceb6-48ba-a3af-ec6bb3d74de2
- Source identifiers:
-
20051
- Local pid:
- pubs:20051
- Language:
- English
- Keywords:
- Copyright date:
- 2004
Journal article
When can the two-armed bandit algorithm be trusted?
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