Risk-Constrained Thompson Sampling for CVaR Bandits.
Joel Q. L. ChangQiuyu ZhuVincent Y. F. TanPublished in: CoRR (2020)
Keyphrases
- risk measures
- risk averse
- risk neutral
- portfolio optimization
- multi armed bandit
- monte carlo
- robust optimization
- utility function
- parameter space
- risk aversion
- stochastic programming
- portfolio selection
- nonparametric estimation
- sample size
- portfolio management
- risk management
- decision makers
- sampling strategy
- sampling algorithm
- random sampling
- sampling strategies
- stochastic systems
- evolutionary algorithm
- high risk
- markov chain monte carlo
- combinatorial optimization