A Survey of Risk-Aware Multi-Armed Bandits
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Abstract (arXiv)
In several applications such as clinical trials and financial portfolio optimization, the expected value (or the average reward) does not satisfactorily capture the merits of a drug or a portfolio. In such applications, risk plays a crucial role, and a risk-aware performance measure is preferable, so as to capture losses in the case of adverse events. This survey aims to consolidate and summarise the existing research on risk measures, specifically in the context of multi-armed bandits. We review various risk measures of interest, and comment on their properties. Next, we review existing concentration inequalities for various risk measures. Then, we proceed to defining risk-aware bandit problems, We consider algorithms for the regret minimization setting, where the exploration-exploitation trade-off manifests, as well as the best-arm identification setting, which is a pure exploration problem -- both in the context of risk-sensitive measures. We conclude by commenting on persisting challenges and fertile areas for future research.
Key facts. Cited by 8 papers in the map (data through 14 Oct 2026). Builds on 12 of its 48 references that are in the map. First posted on arXiv 12 May 2022.
Builds on
12 of 48 references.
References · 12
- 2017A Tutorial on Thompson Samplingcited by 433
- 2015Cumulative Prospect Theory Meets Reinforcement Learning: Prediction and Controlcited by 34
- 2021Off-Policy Risk Assessment in Contextual Banditscited by 29
- 2020Thompson Sampling Algorithms for Mean-Variance Banditscited by 27
- 2020Optimal Thompson Sampling strategies for support-aware CVaR banditscited by 26
- 2019Distribution oblivious, risk-aware algorithms for multi-armed bandits with unbounded rewardscited by 19
- 2019A Wasserstein distance approach for concentration of empirical risk estimatescited by 18
- 2022Almost Optimal Variance-Constrained Best Arm Identificationcited by 16
- 2018Concentration bounds for empirical conditional value-at-risk: The unbounded casecited by 13
- 2019Estimation of Spectral Risk Measurescited by 9
- 2021A Unifying Theory of Thompson Sampling for Continuous Risk-Averse Banditscited by 9
- 2020Quantile Bandits for Best Arms Identificationcited by 7
Built on by
Citing papers per year: 2022: 2; 2023: 1; 2024: 0; 2025: 3; 2026: 2.
8 papers.
- 2022Risk-Aware Linear Bandits: Theory and Applications in Smart Order Routingcited by 1
- 2022Max-Quantile Grouped Infinite-Arm Banditscited by 1
- 2025Risk-Sensitive Agent Compositionscited by 1
- 2025Order Optimal Regret Bounds for Sharpe Ratio Optimization under Thompson Samplingcited by 1
- 2023A Risk-Averse Framework for Non-Stationary Stochastic Multi-Armed Banditscited by 0
- 2025Learning When Not to Learn: Risk-Sensitive Abstention in Bandits with Unbounded Rewardscited by 0
- 2026Asymptotic Optimality of Thompson Sampling for Risk-Averse Bandits with Sub-Gaussian Rewardscited by 0
- 2026Matching Markets meet Cumulative Prospect Theory: Towards Optimal and Adversarially Robust Learningcited by 0
- 2026Matching Markets meet Cumulative Prospect Theory: Towards Optimal and Adversarially Robust Learning18 Jun 2026
- 2026Asymptotic Optimality of Thompson Sampling for Risk-Averse Bandits with Sub-Gaussian Rewards8 Jun 2026
- 2025Learning When Not to Learn: Risk-Sensitive Abstention in Bandits with Unbounded Rewards16 Oct 2025
- 2025Order Optimal Regret Bounds for Sharpe Ratio Optimization under Thompson Sampling19 Aug 2025
- 2025Risk-Sensitive Agent Compositions5 Jun 2025
- 2023A Risk-Averse Framework for Non-Stationary Stochastic Multi-Armed Bandits24 Oct 2023
- 2022Max-Quantile Grouped Infinite-Arm Bandits4 Oct 2022
- 2022Risk-Aware Linear Bandits: Theory and Applications in Smart Order Routing4 Aug 2022