Risk and Optimal Policies in Bandit Experiments.

We provide a decision‐theoretic analysis of bandit experiments under local asymptotics. Working within the framework of diffusion processes, we define suitable notions of asymptotic Bayes and minimax risk for these experiments. For normally distributed rewards, the minimal Bayes risk can be characte...

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Publicado en:	Econometrica Vol. 93; no. 3; pp. 1003 - 1030
Autor principal:	Adusumilli, Karun
Formato:	Artículo
Publicado:	Wiley-Blackwell May2025
Materias:	Decision making Decision theory Multi-armed bandit problem (Probability theory) Bayes' theorem Partial differential equations Feature selection Asymptotic expansions
Acceso en línea:	Ver este registro en EBSCOhost