A penalized bandit algorithm

Damien Lamberton; Gilles Pagès

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A penalized bandit algorithm

Damien Lamberton·Gilles Pagès

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Abstract

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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Damien Lamberton, Gilles Pagès. 2005-10-18. A penalized bandit algorithm. https://arxiv.org/abs/math/0510384

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