7 citations · 7 across the 1 of their papers we have counts for
4 papers
Diffusion Approximations for Thompson Sampling in the Small Gap Regime
Lin Fan, Peter W. Glynn
We study the process-level dynamics of Thompson sampling and related sampling-based bandit algorithms in the ``small gap'' regime, where the gaps between the arm means are of order…
Change-Point Testing for Risk Measures in Time Series
Lin Fan, Junting Duan, Peter W. Glynn +1
We propose novel methods for change-point testing for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. We can detect genera…
Asymptotic product-form steady-state for generalized Jackson networks in multi-scale heavy traffic
J. G. Dai, Peter Glynn, Yaosheng Xu
We prove that under a multi-scale heavy traffic condition, the stationary distribution of the scaled queue length vector process in any generalized Jackson network has a product-fo…
The Fragility of Optimized Bandit Algorithms
Lin Fan, Peter W. Glynn
Much of the literature on optimal design of bandit algorithms is based on minimization of expected regret. It is well known that designs that are optimal over certain exponential f…