A two armed bandit type problem revisited

Free access article

Issue		ESAIM: PS Volume 9, 2005


Page(s)		277 - 282
DOI		10.1051/ps:2005017

ESAIM: P&S, October 2005, Vol. 9, pp. 277-282
DOI: 10.1051/ps:2005017

A two armed bandit type problem revisited

Gilles Pagès

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

(Received December 10, 2004. Revised April 29, 2005.)

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.

Mathematics Subject Classification. 91A20, 91A12, 60F99.

Key words: Two-armed bandit problem, Kronecker lemma, learning theory, stochastic fictitious play.

© EDP Sciences, SMAI 2005

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