Work

How fast is the bandit?

Year: 2005

Type: preprint

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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.math/0510351

Authors: Lamberton, Damien, Pagès, Gilles

Institutions: Laboratoire d’Analyse et de Mathématiques Appliquées, Université Paris-Est Marne-la-Vallée, Le LAMA

Language: English

Topic: Advanced Bandit Algorithms Research

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2949145111

Cites: 8

Cited by:

Related to: 20