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A two armed bandit type problem revisited

Published online by Cambridge University Press:  15 November 2005

Gilles Pagès
Gilles Pagès*
Affiliation:
Laboratoire de Probabilités et Modèles Aléatoires, UMR 7599, Université Paris 6, case 188, 4, place Jussieu, 75252 Paris Cedex 5, France; gpa@ccr.jussieu.fr
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Abstract

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.

Keywords

Two-armed bandit problemKronecker lemmalearning theorystochastic fictitious play.
Type
Research Article
Information
ESAIM: Probability and Statistics , Volume 9 , February 2005 , pp. 277 - 282
Copyright
© EDP Sciences, SMAI, 2005

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References

Benaïm, M., Dynamics of stochastic algorithms, in Séminaire de probabilités XXXIII, J. Azéma et al. Eds., Springer-Verlag, Berlin. Lect. Notes Math. 1708 (1999) 1–68.
Benaïm, M. and Ben Arous, G., A two armed bandit type problem. Game Theory 32 (2003) 3–16. CrossRef