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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

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Large Deviation Principle for an adaptive sampling rule for Multi Armed Bandits

Consider the following adaptive strategy for sampling from a Multi Armed Bandit with $K$ arms: Split the $T$ rounds into $N (\in \mathbb{N})$ disjoint intervals. Each interval is indexed by $i=1,2,\d …
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