Abstract:This paper tackles the risk averse multi-armed bandits problem when incurred losses are nonstationary. The conditional value-at-risk (CVaR) is used as the objective function. Two estimation methods are proposed for this objective function in the presence of non-stationary losses, one relying on a weighted empirical distribution of losses and another on the dual representation of the CVaR. Such estimates can then be embedded into classic arm selection methods such as -greedy policies. Simulation experiments ass… Show more
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