Risk-Averse Allocation Indices for Multiarmed Bandit Problem

DOI10.1109/TAC.2021.3053539MaRDI QIDQ5033850zbMATH OpenOpenAlexFDO

Authors Milad Malekipirbazari, Özlem Çavuş

Publication date 24 February 2022

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2021.3053539

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Cited in

(4)

• On the Gittins index for multiarmed bandits
• A revised approach for risk-averse multi-armed bandits under CVaR criterion
• Index policy for multiarmed bandit problem with dynamic risk measures
• Optimizing sequential decision-making under risk: strategic allocation with switching penalties

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