Optimal Thompson Sampling strategies for support-aware CVaR bandits

OptimalThompsonSamplingstrategiesforsupport-awareCVaRbanditsDorianBaudry1RomainGautron23EmilieKaufmann1Odalric-AmbrymMaillard1AbstractValueatRisk(CVaR)aswellasmoregenericcoherentspec-tralriskmeasur...