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A Finite-Time Analysis of Multi-armed Bandits Problems with Kullback-Leibler Divergences
Finite-Time Multi-armed Bandits Problems Kullback-Leibler Divergences
2011/6/20
We consider a Kullback-Leibler-based algorithmfor the stochastic multi-armed bandit prob-
lem in the case of distributions with finite supports (not necessarily known beforehand),
whose asymptotic r...
On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time
Levy processes optimal stopping problem Appell polynomials pasting principles
2009/4/24
Novikov and Shiryaev (2004) give explicit solutions to a class of optimal stopping problems for random walks based on other similar examples given in Darling et al. (1972). We give the analogue of the...
Invariant measures for stochastic Cauchy problems with asymptotically unstable drift semigroup
Invariantmeasures stochastic evolution equationsin Hilbert spaces
2009/4/22
We investigate existence and permanence properties of invariant measures for abstract stochastic Cauchy problems of the form
dU(t) = (AU(t) + f) dt + B dWH(t),
governed by the generator A of...
Invariant measures for stochastic Cauchy problems with asymptotically unstable drift semigroup
Invariant measures stochastic problems existence
2009/4/1
We investigate existence and permanence properties of invariant measures for abstract stochastic Cauchy problems of the form dU(t) = (AU(t) + f) dt + B dWH(t),governed by the generator A of an asympto...