A two armed bandit type problem revisited

Gilles Pagès (1)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

In a recent paper, M. Benaïm and G. Ben Arous solve a multi-armed bandit problem arising in the theory of learning in games. We propose an short elementary proof of this result based on a variant of the Kronecker Lemma.

Mots clés: Two-armed bandit problem; Kronecker Lemma; learning theory; stochastic fictitious play

Domaines: Probabilités [math.PR]

Gilles Pagès. A two armed bandit type problem revisited. ESAIM: Probability and Statistics, 2005, 9, pp.277-282. ⟨10.1051/ps:2005017⟩. ⟨hal-00004198⟩