Matches in SemOpenAlex for { <https://semopenalex.org/work/W4290374317> ?p ?o ?g. }
Showing items 1 to 73 of
73
with 100 items per page.
- W4290374317 abstract "Motivated by practical considerations in machine learning for financial decision-making, such as risk-aversion and large action space, we initiate the study of risk-aware linear bandits. Specifically, we consider regret minimization under the mean-variance measure when facing a set of actions whose rewards can be expressed as linear functions of (initially) unknown parameters. Driven by the variance-minimizing G-optimal design, we propose the Risk-Aware Explore-then-Commit (RISE) algorithm and the Risk-Aware Successive Elimination (RISE++) algorithm. Then, we rigorously analyze their regret upper bounds to show that, by leveraging the linear structure, the algorithms can dramatically reduce the regret when compared to existing methods. Finally, we demonstrate the performance of the algorithms by conducting extensive numerical experiments in a synthetic smart order routing setup. Our results show that both RISE and RISE++ can outperform the competing methods, especially in complex decision-making scenarios." @default.
- W4290374317 created "2022-08-07" @default.
- W4290374317 creator A5019481782 @default.
- W4290374317 creator A5038115830 @default.
- W4290374317 creator A5068576165 @default.
- W4290374317 date "2022-08-03" @default.
- W4290374317 modified "2023-09-23" @default.
- W4290374317 title "Risk-Aware Linear Bandits: Theory and Applications in Smart Order Routing" @default.
- W4290374317 doi "https://doi.org/10.48550/arxiv.2208.02389" @default.
- W4290374317 hasPublicationYear "2022" @default.
- W4290374317 type Work @default.
- W4290374317 citedByCount "0" @default.
- W4290374317 crossrefType "posted-content" @default.
- W4290374317 hasAuthorship W4290374317A5019481782 @default.
- W4290374317 hasAuthorship W4290374317A5038115830 @default.
- W4290374317 hasAuthorship W4290374317A5068576165 @default.
- W4290374317 hasBestOaLocation W42903743171 @default.
- W4290374317 hasConcept C10138342 @default.
- W4290374317 hasConcept C119857082 @default.
- W4290374317 hasConcept C121955636 @default.
- W4290374317 hasConcept C124101348 @default.
- W4290374317 hasConcept C126255220 @default.
- W4290374317 hasConcept C153180980 @default.
- W4290374317 hasConcept C162324750 @default.
- W4290374317 hasConcept C177264268 @default.
- W4290374317 hasConcept C182306322 @default.
- W4290374317 hasConcept C196083921 @default.
- W4290374317 hasConcept C199360897 @default.
- W4290374317 hasConcept C2780009758 @default.
- W4290374317 hasConcept C2780821815 @default.
- W4290374317 hasConcept C2781472820 @default.
- W4290374317 hasConcept C31258907 @default.
- W4290374317 hasConcept C33923547 @default.
- W4290374317 hasConcept C41008148 @default.
- W4290374317 hasConcept C50817715 @default.
- W4290374317 hasConcept C74172769 @default.
- W4290374317 hasConcept C77088390 @default.
- W4290374317 hasConceptScore W4290374317C10138342 @default.
- W4290374317 hasConceptScore W4290374317C119857082 @default.
- W4290374317 hasConceptScore W4290374317C121955636 @default.
- W4290374317 hasConceptScore W4290374317C124101348 @default.
- W4290374317 hasConceptScore W4290374317C126255220 @default.
- W4290374317 hasConceptScore W4290374317C153180980 @default.
- W4290374317 hasConceptScore W4290374317C162324750 @default.
- W4290374317 hasConceptScore W4290374317C177264268 @default.
- W4290374317 hasConceptScore W4290374317C182306322 @default.
- W4290374317 hasConceptScore W4290374317C196083921 @default.
- W4290374317 hasConceptScore W4290374317C199360897 @default.
- W4290374317 hasConceptScore W4290374317C2780009758 @default.
- W4290374317 hasConceptScore W4290374317C2780821815 @default.
- W4290374317 hasConceptScore W4290374317C2781472820 @default.
- W4290374317 hasConceptScore W4290374317C31258907 @default.
- W4290374317 hasConceptScore W4290374317C33923547 @default.
- W4290374317 hasConceptScore W4290374317C41008148 @default.
- W4290374317 hasConceptScore W4290374317C50817715 @default.
- W4290374317 hasConceptScore W4290374317C74172769 @default.
- W4290374317 hasConceptScore W4290374317C77088390 @default.
- W4290374317 hasLocation W42903743171 @default.
- W4290374317 hasOpenAccess W4290374317 @default.
- W4290374317 hasPrimaryLocation W42903743171 @default.
- W4290374317 hasRelatedWork W1974894620 @default.
- W4290374317 hasRelatedWork W2097740600 @default.
- W4290374317 hasRelatedWork W2120518702 @default.
- W4290374317 hasRelatedWork W2161165475 @default.
- W4290374317 hasRelatedWork W2339981478 @default.
- W4290374317 hasRelatedWork W2761342439 @default.
- W4290374317 hasRelatedWork W2782031052 @default.
- W4290374317 hasRelatedWork W2884887308 @default.
- W4290374317 hasRelatedWork W2966956172 @default.
- W4290374317 hasRelatedWork W2970890202 @default.
- W4290374317 isParatext "false" @default.
- W4290374317 isRetracted "false" @default.
- W4290374317 workType "article" @default.