X-Armed Bandits: Optimizing Quantiles, CVaR and Other Risks

17 Apr 2019Léonard TorossianAurélien GarivierVictor Picheny

We propose and analyze StoROO, an algorithm for risk optimization on stochastic black-box functions derived from StoOO. Motivated by risk-averse decision making fields like agriculture, medicine, biology or finance, we do not focus on the mean payoff but on generic functionals of the return distribution... (read more)

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