2 papers
cs.LG2020
Regret Analysis of a Markov Policy Gradient Algorithm for Multi-arm Bandits
Denis Denisov, Neil Walton
We consider a policy gradient algorithm applied to a finite-arm bandit problem with Bernoulli rewards. We allow learning rates to depend on the current state of the algorithm, rath…
math.PR2011
Limit Theorems for Multifractal Products of Geometric Stationary Processes
Denis Denisov, Nikolai Leonenko
We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by Lévy…