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Probl. Peredachi Inf., 2018, Volume 54, Issue 1, Pages 93–111 (Mi ppi2262)  

This article is cited in 1 scientific paper (total in 1 paper)

Large Systems

Gaussian two-armed bandit and optimization of batch data processing

A. V. Kolnogorov

Department of Applied Mathematics and Information Science, Yaroslav-the-Wise Novgorod State University, Novgorod the Great, Russia

Abstract: We consider the minimax setting for the two-armed bandit problem with normally distributed incomes having a priori unknown mathematical expectations and variances. This setting naturally arises in optimization of batch data processing where two alternative processing methods are available with different a priori unknown efficiencies. During the control process, it is required to determine the most efficient method and ensure its predominant application. We use the main theorem of game theory to search for minimax strategy and minimax risk as Bayesian ones corresponding to the worst-case prior distribution. To find them, a recursive integro-difference equation is obtained. We show that batch data processing almost does not increase the minimax risk if the number of batches is large enough.

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English version:
Problems of Information Transmission, 2018, 54:1, 84–100

Bibliographic databases:

UDC: 621.391.1+503.5
Received: 11.09.2017
Revised: 24.11.2017

Citation: A. V. Kolnogorov, “Gaussian two-armed bandit and optimization of batch data processing”, Probl. Peredachi Inf., 54:1 (2018), 93–111; Problems Inform. Transmission, 54:1 (2018), 84–100

Citation in format AMSBIB
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\by A.~V.~Kolnogorov
\paper Gaussian two-armed bandit and optimization of batch data processing
\jour Probl. Peredachi Inf.
\yr 2018
\vol 54
\issue 1
\pages 93--111
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\elib{http://elibrary.ru/item.asp?id=32614066}
\transl
\jour Problems Inform. Transmission
\yr 2018
\vol 54
\issue 1
\pages 84--100
\crossref{https://doi.org/10.1134/S0032946018010076}
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\scopus{http://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85045521102}


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    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. Kolnogorov A.V., Ix International Multidisciplinary Scientific and Research Conference Modern Issues in Science and Technology / Workshop Advanced Technologies in Aerospace, Mechanical and Automation Engineering, IOP Conference Series-Materials Science and Engineering, 450, IOP Publishing Ltd, 2018  crossref  isi  scopus
  • Проблемы передачи информации Problems of Information Transmission
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