38 citations · 119 across the 10 of their papers we have counts for
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math.PR2005
A penalized bandit algorithm
Damien Lamberton, Gilles Pagès
We study a two armed-bandit algorithm with penalty. We show the convergence of the algorithm and establish the rate of convergence. For some choices of the parameters, we obtain a…
math.PR2005
How fast is the bandit?
Damien Lamberton, Gilles Pagès
In this paper we investigate the rate of convergence of the so-called two-armed bandit algorithm in a financial context of asset allocation. The behaviour of the algorithm turns ou…