ESAIM: Probability and Statistics

Table of Contents - November 2005 - Volume 9  

Research Article

A two armed bandit type problem revisited

Pagès, Gilles

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

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.

(Received December 10 2004)

(Revised April 29 2005)

(Online publication November 15 2005)

Key Words:

  • Two-armed bandit problem;
  • Kronecker lemma;
  • learning theory;
  • stochastic fictitious play.

Mathematics Subject Classification:

  • 91A20;
  • 91A12;
  • 60F99
--