Robust Risk-averse Stochastic Multi-Armed Bandits - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Other Publications Year : 2013

Robust Risk-averse Stochastic Multi-Armed Bandits

Abstract

We study a variant of the standard stochastic multi-armed bandit problem when one is not interested in the arm with the best mean, but instead in the arm maximizing some coherent risk measure criterion. Further, we are studying the deviations of the regret instead of the less informative expected regret. We provide an algorithm, called RA-UCB to solve this problem, together with a high probability bound on its regret.
Fichier principal
Vignette du fichier
RiskAwareKLMAB_Arxiv.pdf (256.54 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-00821670 , version 1 (11-05-2013)

Identifiers

  • HAL Id : hal-00821670 , version 1

Cite

Odalric-Ambrym Maillard. Robust Risk-averse Stochastic Multi-Armed Bandits. 2013. ⟨hal-00821670⟩
263 View
1196 Download

Share

Gmail Facebook X LinkedIn More