The multi-armed bandit problem under the mean-variance setting

DOI10.1016/J.EJOR.2025.03.011MaRDI QIDQ6981676zbMATH OpenFDO

Authors Hongda Hu, Arthur Charpentier, Mario Ghossoub, Alexander Schied

Publication date 20 May 2025

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2025.03.011

zbMATH Keywords

mean-variance regret analysismultiarmed banditsonline optimizationsub-Gaussian distribution

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

Cites work

• An online algorithm for the risk-aware restless bandit
• Asymptotically efficient adaptive allocation rules
• Exploration-exploitation tradeoff using variance estimates in multi-armed bandits
• Finite-time analysis of the multiarmed bandit problem
• scientific article; zbMATH DE number 3084669 (Why is no real title available?)
• Index policy for multiarmed bandit problem with dynamic risk measures
• Multi-armed bandit-based hyper-heuristics for combinatorial optimization problems
• Multi-Armed Bandits With Correlated Arms
• On the likelihood that one unkrown probability exeeds another in view of the evidence of two samples.
• Sample mean based index policies by O(log n) regret for the multi-armed bandit problem
• Some aspects of the sequential design of experiments

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