$\mathcal{X}$-Armed Bandits: Optimizing Quantiles, CVaR and Other Risks.
Léonard TorossianAurélien GarivierVictor PichenyPublished in: ACML (2019)
Keyphrases
- portfolio selection
- nonparametric estimation
- decision making
- risk measures
- stochastic systems
- sliding window
- data distribution
- fixed size
- order statistics
- risk management
- binary classification
- empirically derived
- multi armed bandits
- neural network
- risk analysis
- robust optimization
- risk averse
- regression model
- decision makers