Percentile optimization in multi-armed bandit problems

DOI10.1007/S10479-024-06165-4MaRDI QIDQ6638855zbMATH OpenFDO

Authors Zahra Ghatrani, Archis Ghate

Publication date 14 November 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-024-06165-4

zbMATH Keywords

chance-constrained programmingdynamic programmingLagrangian relaxation

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Operations research and management science (90Bxx) Mathematical programming (90Cxx)

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Cites work

• Applications of second-order cone programming
• Bias and variance approximation in value function estimates
• Chance-constrained programming
• scientific article; zbMATH DE number 995813 (Why is no real title available?)
• scientific article; zbMATH DE number 4087408 (Why is no real title available?)
• scientific article; zbMATH DE number 3638998 (Why is no real title available?)
• scientific article; zbMATH DE number 5685899 (Why is no real title available?)
• Percentile Optimization for Markov Decision Processes with Parameter Uncertainty
• Relaxations of Weakly Coupled Stochastic Dynamic Programs
• Robust Control of Markov Decision Processes with Uncertain Transition Matrices
• Robust Dynamic Programming
• Second-order cone programming

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