How fast is the bandit?

Damien Lamberton; Gilles Pagès

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How fast is the bandit?

Damien Lamberton·Gilles Pagès

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Abstract

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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Damien Lamberton, Gilles Pagès. 2005-10-17. How fast is the bandit?. https://arxiv.org/abs/math/0510351

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