Thompson Sampling for Gaussian Entropic Risk Bandits.
Ming Liang AngEloise Y. Y. LimJoel Q. L. ChangPublished in: CoRR (2021)
Keyphrases
- maximum likelihood
- sample size
- random sampling
- minimum risk
- high risk
- multi armed bandit
- stochastic approximation
- sampling strategy
- risk assessment
- risk management
- information theory
- monte carlo
- decision making
- divergence measure
- risk measures
- multi armed bandits
- sampling algorithm
- risk factors
- portfolio optimization
- sampled data
- gaussian model
- density function
- mutual information