Tracking the mean of a piecewise stationary sequence

Ghurumuruhan Ganesan ()
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Ghurumuruhan Ganesan: IISER

Indian Journal of Pure and Applied Mathematics, 2024, vol. 55, issue 3, 966-973

Abstract: Abstract In this paper we study the problem of tracking the mean of a piecewise stationary sequence of independent random variables. First we consider the case where the transition times are known and show that a direct running average performs the tracking in short time and with high accuracy. We then use a single valued weighted running average with a tunable parameter for the case when transition times are unknown and establish deviation bounds for the tracking accuracy. Our result has applications in choosing the optimal rewards for the multiarmed bandit scenario.

Keywords: Piecewise stationary sequence; mean tracking; weighted running average; multiarmed bandit; Primary: 60C05; 68T10 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s13226-024-00641-0

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