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https://doi.org/10.2139/ssrn.5...
Article . 2025 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2025
License: CC BY
Data sources: Datacite
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Local Asymptotic Normality for Multi-Armed Bandits

Authors: van den Akker, Ramon; Werker, Bas J. M.; Zhou, Bo;

Local Asymptotic Normality for Multi-Armed Bandits

Abstract

Van den Akker, Werker, and Zhou (2025) showed that the limit experiment, in the sense of H\a'{a}jek-Le Cam, for (contextual) bandits whose arms' expected payoffs differ by $O(T^{-1/2})$, is Locally Asymptotically Quadratic (LAQ) but highly non-standard, being characterized by a system of coupled stochastic differential equations. The present paper considers the complementary case where the arms' expected payoffs are fixed with a unique optimal (in the sense of highest expected payoff) arm. It is shown that, under sampling schemes satisfying mild regularity conditions (including UCB and Thompson sampling), the model satisfies the standard Locally Asymptotically Normal (LAN) property.

Country
Netherlands
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Keywords

Statistics Theory, FOS: Mathematics, Statistics Theory (math.ST), math.ST

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
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