Index policy for multiarmed bandit problem with dynamic risk measures
Milad Malekipirbazari, Özlem Çavuş
| Year of publication: |
2024
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|---|---|
| Authors: | Malekipirbazari, Milad ; Çavuş, Özlem |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 312.2024, 2 (16.1.), p. 627-640
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| Subject: | Dynamic coherent risk measures | Gittins index | Multiarmed bandit problem | Risk-averse control | Stochastic programming | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risiko | Risk | Risikomaß | Risk measure | Messung | Measurement | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | Entscheidung unter Risiko | Decision under risk | Risikoaversion | Risk aversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.08.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014456308