Thompson Sampling for CVaR Bandits.
Dorian BaudryRomain GautronEmilie KaufmannOdalric-Ambrym MaillardPublished in: CoRR (2020)
Keyphrases
- risk measures
- random sampling
- stochastic systems
- portfolio selection
- nonparametric estimation
- robust optimization
- multi armed bandit
- sample size
- monte carlo
- sampling algorithm
- sampling methods
- sampling strategy
- case study
- multi armed bandits
- real time
- portfolio optimization
- particle filter
- probabilistic model
- reinforcement learning
- information retrieval