Generalized Risk-Aversion in Stochastic Multi-Armed Bandits
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Abstract (arXiv)
We consider the problem of minimizing the regret in stochastic multi-armed bandit, when the measure of goodness of an arm is not the mean return, but some general function of the mean and the variance.We characterize the conditions under which learning is possible and present examples for which no natural algorithm can achieve sublinear regret.
Key facts. Cited by 11 papers in the map (data through 7 Oct 2026). First posted on arXiv 5 May 2014.
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Citing papers per year: 2021: 2; 2022: 6; 2023: 2; 2024: 0; 2025: 0; 2026: 1.
11 papers.
- 2021Off-Policy Risk Assessment in Contextual Banditscited by 29
- 2022Almost Optimal Variance-Constrained Best Arm Identificationcited by 16
- 2021The Fragility of Optimized Bandit Algorithmscited by 15
- 2023Regret Distribution in Stochastic Bandits: Optimal Trade-off between Expectation and Tail Riskcited by 7
- 2022Supervised Learning with General Risk Functionalscited by 6
- 2022The Survival Bandit Problemcited by 4
- 2022A Simple and Optimal Policy Design with Safety against Heavy-Tailed Risk for Stochastic Banditscited by 3
- 2022Functional Linear Regression of Cumulative Distribution Functionscited by 1
- 2022Risk-averse Contextual Multi-armed Bandit Problem with Linear Payoffscited by 1
- 2023A Risk-Averse Framework for Non-Stationary Stochastic Multi-Armed Banditscited by 0
- 2026Softmax gradient policy for variance minimization and risk-averse multi armed banditscited by 0
- 2026Softmax gradient policy for variance minimization and risk-averse multi armed bandits31 Mar 2026
- 2023A Risk-Averse Framework for Non-Stationary Stochastic Multi-Armed Bandits24 Oct 2023
- 2023Regret Distribution in Stochastic Bandits: Optimal Trade-off between Expectation and Tail Risk10 Apr 2023
- 2022Supervised Learning with General Risk Functionals27 Jun 2022
- 2022Risk-averse Contextual Multi-armed Bandit Problem with Linear Payoffs24 Jun 2022
- 2022The Survival Bandit Problem7 Jun 2022
- 2022A Simple and Optimal Policy Design with Safety against Heavy-Tailed Risk for Stochastic Bandits7 Jun 2022
- 2022Functional Linear Regression of Cumulative Distribution Functions28 May 2022
- 2022Almost Optimal Variance-Constrained Best Arm Identification25 Jan 2022
- 2021The Fragility of Optimized Bandit Algorithms28 Sep 2021
- 2021Off-Policy Risk Assessment in Contextual Bandits18 Apr 2021