Anders Bredahl Kock, David Preinerstorfer, Bezirgen Veliyev
arXiv 29 Jan 2020 · Statistics — Machine Learning · publishedEconometric Theory (2023) · 2 citations (OpenAlex)
arXiv:2001.10996 · PDF · DOI · OpenAlex · Extracted main text
We consider a multi-armed bandit problem with covariates. Given a realization of the covariate vector, instead of targeting the treatment with highest conditional expectation, the decision maker targets the treatment which maximizes a general functional of the conditional potential outcome distribution, e.g., a conditional quantile, trimmed mean, or a socio-economic functional such as an inequality, welfare or poverty measure. We develop expected regret lower bounds for this problem, and construct a near minimax optimal assignment policy.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Rigollet, P. and A. Zeevi (2010) Nonparametric bandits with covariates | 0.965 | 10 | 4 | 90% |
| 2 | Perchet, V. and P. Rigollet (2013) The multi-armed bandit problem with covariates | 0.843 | 4 | 3 | 75% |
| 3 | Kock, A. B., D. Preinerstorfer, and B. Veliyev (2020) Functional Sequential Treatment Allocation self | 0.794 | 20 | 5 | 50% |
| 4 | Audibert, J.-Y. and A. B. Tsybakov (2007) Fast learning rates for plug-in classifiers | 0.644 | 2 | 2 | 100% |
| 5 | Cassel, A., S. Mannor, and A. Zeevi (2018) A general approach to multi-armed bandits under risk criteria | 0.644 | 2 | 2 | 100% |
| 6 | Mammen, E. and A. B. Tsybakov (1999) Smooth discrimination analysis | 0.644 | 2 | 2 | 100% |
| 7 | Tsybakov, A. B (2004) Optimal aggregation of classifiers in statistical learning | 0.644 | 2 | 2 | 100% |
| 8 | Kock, A. B. and M. Thyrsgaard (2017) Optimal sequential treatment allocation self | 0.511 | 2 | 1 | 100% |
| 9 | Vakili, S. and Q. Zhao (2016) Risk-Averse Multi-Armed Bandit Problems Under Mean-Variance Measure | 0.405 | 1 | 1 | 100% |
| 10 | Sani, A., A. Lazaric, and R. Munos (2012) Risk-Aversion in Multi-armed Bandits, in | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 24 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Functional Sequential Treatment Allocation | 0.843 | 3 | 3 |
| 2 | Treatment recommendation with distributional targets | 0.843 | 3 | 3 |