Risk-Averse Allocation Indices for Multiarmed Bandit Problem

In classical multiarmed bandit problem, the aim is to find a policy maximizing the expected total reward, implicitly assuming that the decision-maker is risk-neutral. On the other hand, the decision-makers are risk-averse in some real-life applications. In this article, we design a new setting based on the concept of dynamic risk measures where the aim is to find a policy with the best risk-adjust...