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A penalized bandit algorithm

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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Contributor : Gilles Pagès <>
Submitted on : Tuesday, October 18, 2005 - 5:57:56 PM
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Damien Lamberton, Gilles Pagès. A penalized bandit algorithm. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2008, 13, 341-373 ; ⟨10.1214/EJP.v13-489⟩. ⟨hal-00012187⟩



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