A revised approach for risk-averse multi-armed bandits under CVaR criterion.

Najakorn Khajonchotpanya Yilin Xue Napat Rujeerapaiboon

Published in: Oper. Res. Lett. (2021)

Keyphrases

risk averse
multi armed bandits
risk neutral
risk measures
utility function
decision makers
stochastic programming
risk aversion
bandit problems
expected utility
portfolio management
multi armed bandit
portfolio optimization
decision making
decision theoretic
multistage
probability distribution