Loecher Markus
Berlin School of Economics and Law, Berlin, Germany.
Front Artif Intell. 2021 Jul 9;4:715690. doi: 10.3389/frai.2021.715690. eCollection 2021.
The connection between optimal stopping times of American Options and multi-armed bandits is the subject of active research. This article investigates the effects of optional stopping in a particular class of multi-armed bandit experiments, which randomly allocates observations to arms proportional to the Bayesian posterior probability that each arm is optimal (). The interplay between optional stopping and prior mismatch is examined. We propose a novel partitioning of regret into peri/post testing. We further show a strong dependence of the parameters of interest on the assumed prior probability density.
美式期权的最优停止时间与多臂老虎机之间的联系是当前积极研究的主题。本文研究了在一类特定的多臂老虎机实验中选择性停止的影响，该实验根据每个臂是最优臂的贝叶斯后验概率，将观测值随机分配到各个臂上。本文还研究了选择性停止与先验不匹配之间的相互作用。我们提出了一种将遗憾分为测试前/测试后的新颖划分方法。我们进一步表明，感兴趣的参数强烈依赖于假定的先验概率密度。
