15 citations · 83 across the 22 of their papers we have counts for
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stat.ML2019★ 2 cited
Risk-Averse Action Selection Using Extreme Value Theory Estimates of the CVaR
Dylan Troop, Frédéric Godin, Jia Yuan Yu
In a wide variety of sequential decision making problems, it can be important to estimate the impact of rare events in order to minimize risk exposure. A popular risk measure is th…
stat.ML2014
Functional Bandits
Long Tran-Thanh, Jia Yuan Yu
We introduce the functional bandit problem, where the objective is to find an arm that optimises a known functional of the unknown arm-reward distributions. These problems arise in…