On Ergodic Two-armed Bandits

@inproceedings{Tarres2010OnET,
  title={On Ergodic Two-armed Bandits},
  author={Pierre Tarres and Pierre Vandekerkhove},
  year={2010}
}
A device has two arms with unknown deterministic payoffs, and the aim is to asymptotically identify the best one without spending too much time on the other. The Narendra algorithm offers a stochastic procedure to this end. We show under weak ergodic assumptions on these deterministic payoffs that the procedure eventually chooses the best arm (i.e. with greatest Cesaro limit) with probability one, for appropriate step sequences of the algorithm. In the case of i.i.d. payoffs, this implies a… CONTINUE READING

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