Related papers: A Zeroth-Order Momentum Method for Risk-Averse Onl…

Risk-sensitive reinforcement learning (RL) aims to optimize policies that balance the expected reward and risk. In this paper, we present a novel risk-sensitive RL framework that employs an Iterated Conditional Value-at-Risk (CVaR)…

Learning in multi-player games can model a large variety of practical scenarios, where each player seeks to optimize its own local objective function, which at the same time relies on the actions taken by others. Motivated by the frequent…

A variety of practical problems can be modeled by the decision-making process in multi-player games where a group of self-interested players aim at optimizing their own local objectives, while the objectives depend on the actions taken by…

Existing risk-aware multi-armed bandit models typically focus on risk measures of individual options such as variance. As a result, they cannot be directly applied to important real-world online decision making problems with correlated…

In this paper, we propose a cost-aware cascading bandits model, a new variant of multi-armed ban- dits with cascading feedback, by considering the random cost of pulling arms. In each step, the learning agent chooses an ordered list of…

This paper examines the long-run behavior of learning with bandit feedback in non-cooperative concave games. The bandit framework accounts for extremely low-information environments where the agents may not even know they are playing a…

We extend the adversarial/non-stochastic multi-play multi-armed bandit (MPMAB) to the case where the number of arms to play is variable. The work is motivated by the fact that the resources allocated to scan different critical locations in…

Risk measures are important key figures to measure the adequacy of the reserves of a company. The most common risk measures in practice are Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Recently, quantum-based algorithms are…

In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in costs in addition to minimizing a standard criterion. Conditional value-at-risk (CVaR) is a relatively new risk measure that…

Learning to play zero-sum games is a fundamental problem in game theory and machine learning. While significant progress has been made in minimizing external regret in the self-play settings or with full-information feedback, real-world…

Motivated by applications to online advertising and recommender systems, we consider a game-theoretic model with delayed rewards and asynchronous, payoff-based feedback. In contrast to previous work on delayed multi-armed bandits, we focus…

We study the problem of incorporating risk while making combinatorial decisions under uncertainty. We formulate a discrete submodular maximization problem for selecting a set using Conditional-Value-at-Risk (CVaR), a risk metric commonly…

Mainstream approximate action-value iteration reinforcement learning (RL) algorithms suffer from overestimation bias, leading to suboptimal policies in high-variance stochastic environments. Quantile-based action-value iteration methods…

In many sequential decision-making problems one is interested in minimizing an expected cumulative cost while taking into account \emph{risk}, i.e., increased awareness of events of small probability and high consequences. Accordingly, the…

We investigate the problem of learning an equilibrium in a generalized two-sided matching market, where agents can adaptively choose their actions based on their assigned matches. Specifically, we consider a setting in which matched agents…

Distributional reinforcement learning (RL) -- in which agents learn about all the possible long-term consequences of their actions, and not just the expected value -- is of great recent interest. One of the most important affordances of a…

We explore whether quantum advantages can be found for the zeroth-order online convex optimization problem, which is also known as bandit convex optimization with multi-point feedback. In this setting, given access to zeroth-order oracles…

We consider a resource-aware variant of the classical multi-armed bandit problem: In each round, the learner selects an arm and determines a resource limit. It then observes a corresponding (random) reward, provided the (random) amount of…

Traditional reinforcement learning (RL) aims to maximize the expected total reward, while the risk of uncertain outcomes needs to be controlled to ensure reliable performance in a risk-averse setting. In this paper, we consider the problem…

In machine learning we often try to optimise a decision rule that would have worked well over a historical dataset; this is the so called empirical risk minimisation principle. In the context of learning from recommender system logs,…