mlsanityData to 14 Oct 2026

Risk-Averse Multi-Armed Bandit Problems under Mean-Variance Measure

arXiv 1604.05257 ↗First posted 18 Apr 2016cs.LGcited by 20

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Abstract (arXiv)

The multi-armed bandit problems have been studied mainly under the measure of expected total reward accrued over a horizon of length T. In this paper, we address the issue of risk in multi-armed bandit problems and develop parallel results under the measure of mean-variance, a commonly adopted risk measure in economics and mathematical finance. We show that the model-specific regret and the model-independent regret in terms of the mean-variance of the reward process are lower bounded by Omega(log T) and Omega(T2/3), respectively. We then show that variations of the UCB policy and the DSEE policy developed for the classic risk-neutral MAB achieve these lower bounds.

Key facts. Cited by 20 papers in the map (data through 14 Oct 2026). First posted on arXiv 18 Apr 2016.

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Cited by year (2026 to 14 Oct)

Citing papers per year: 2021: 4; 2022: 8; 2023: 3; 2024: 0; 2025: 2; 2026: 3.

20 papers.

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  1. 2021The Fragility of Optimized Bandit Algorithmscited by 17
  2. 2022Almost Optimal Variance-Constrained Best Arm Identificationcited by 16
  3. 2022Constrained Pure Exploration Multi-Armed Bandits with a Fixed Budgetcited by 9
  4. 2022Federated Multi-Armed Bandits Under Byzantine Attackscited by 6
  5. 2021ESCADA: Efficient Safety and Context Aware Dose Allocation for Precision Medicinecited by 5
  6. 2022The Survival Bandit Problemcited by 4
  7. 2025Risk-sensitive Bandits: Arm Mixture Optimality and Regret-efficient Algorithmscited by 3
  8. 2021Continuous Mean-Covariance Banditscited by 2
  9. 2021Thompson Sampling for Gaussian Entropic Risk Banditscited by 2
  10. 2022Risk-Averse Multi-Armed Bandits with Unobserved Confounders: A Case Study in Emotion Regulation in Mobile Healthcited by 2
  11. 2022Conditionally Risk-Averse Contextual Banditscited by 2
  12. 2022Risk-averse Contextual Multi-armed Bandit Problem with Linear Payoffscited by 1
8 more
  1. 2022Risk-Aware Linear Bandits: Theory and Applications in Smart Order Routingcited by 1
  2. 2023Probably Anytime-Safe Stochastic Combinatorial Semi-Banditscited by 1
  3. 2023Balancing Risk and Reward: An Automated Phased Release Strategycited by 0
  4. 2023A Risk-Averse Framework for Non-Stationary Stochastic Multi-Armed Banditscited by 0
  5. 2025Conformal bandits: bringing statistical validity and reward efficiency under weak arm separabilitycited by 0
  6. 2026Risk-Averse Wasserstein Distributionally Robust Online Learningcited by 0
  7. 2026Softmax gradient policy for variance minimization and risk-averse multi armed banditscited by 0
  8. 2026Dominant Arm Identification with Mixing and Recycling Observed Samplescited by 0