When can the two-armed bandit algorithm be trusted?
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 i...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2004
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