In Benaïm and Ben Arous (2003) is solved a multi-armed bandit problem arising in the theory of learning in games. We propose a short and elementary proof of this result based on a variant of the Kronecker lemma.
Classification : 91A20, 91A12, 60F99
Mots clés : two-armed bandit problem, Kronecker lemma, learning theory, stochastic fictitious play
@article{PS_2005__9__277_0, author = {Pag\`es, Gilles}, title = {A two armed bandit type problem revisited}, journal = {ESAIM: Probability and Statistics}, pages = {277--282}, publisher = {EDP-Sciences}, volume = {9}, year = {2005}, doi = {10.1051/ps:2005017}, zbl = {1136.91327}, mrnumber = {2174870}, language = {en}, url = {http://www.numdam.org/articles/10.1051/ps:2005017/} }
TY - JOUR AU - Pagès, Gilles TI - A two armed bandit type problem revisited JO - ESAIM: Probability and Statistics PY - 2005 DA - 2005/// SP - 277 EP - 282 VL - 9 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ps:2005017/ UR - https://zbmath.org/?q=an%3A1136.91327 UR - https://www.ams.org/mathscinet-getitem?mr=2174870 UR - https://doi.org/10.1051/ps:2005017 DO - 10.1051/ps:2005017 LA - en ID - PS_2005__9__277_0 ER -
Pagès, Gilles. A two armed bandit type problem revisited. ESAIM: Probability and Statistics, Tome 9 (2005), pp. 277-282. doi : 10.1051/ps:2005017. http://www.numdam.org/articles/10.1051/ps:2005017/
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