The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 14, Number 3 (2004), 1424-1454.
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 is constant or goes to 0 not too fast, the algorithm does fall in the noiseless repulsive equilibrium with positive probability, whereas it always converges to its natural attractive target when the gain parameter goes to zero at some appropriate rates depending on the parameters of the model. We also elucidate the behavior of the constant step algorithm when the step goes to 0. Finally, we highlight the connection between the algorithm and the Polya urn. An application to asset allocation is briefly described.
Ann. Appl. Probab., Volume 14, Number 3 (2004), 1424-1454.
First available in Project Euclid: 13 July 2004
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62L20: Stochastic approximation
Secondary: 93C40: Adaptive control 91E40: Memory and learning [See also 68T05] 68T05: Learning and adaptive systems [See also 68Q32, 91E40] 91B32: Resource and cost allocation
Lamberton, Damien; Pagès, Gilles; Tarrès, Pierre. When can the two-armed bandit algorithm be trusted?. Ann. Appl. Probab. 14 (2004), no. 3, 1424--1454. doi:10.1214/105051604000000350. https://projecteuclid.org/euclid.aoap/1089736291