Contextual bandits with average-case statistical guarantees are inadequate in risk-averse situations because they might trade off degraded worst-case behavior for better average performance. Designing a risk-averse contextual bandit is challenging because exploration is necessary but risk-aversion is sensitive to the entire distribution of rewards; nonetheless we exhibit the first risk-averse contextual bandit algorithm with an online regret guarantee. We apply the technique to a self-tuning software scenario in a production exa-scale data processing system, where worst-case outcomes should be avoided.<\/p>\n","protected":false},"excerpt":{"rendered":"
Contextual bandits with average-case statistical guarantees are inadequate in risk-averse situations because they might trade off degraded worst-case behavior for better average performance. Designing a risk-averse contextual bandit is challenging because exploration is necessary but risk-aversion is sensitive to the entire distribution of rewards; nonetheless we exhibit the first risk-averse contextual bandit algorithm with an […]<\/p>\n","protected":false},"featured_media":0,"template":"","meta":{"msr-url-field":"","msr-podcast-episode":"","msrModifiedDate":"","msrModifiedDateEnabled":false,"ep_exclude_from_search":false,"_classifai_error":"","msr-author-ordering":null,"msr_publishername":"","msr_publisher_other":"","msr_booktitle":"","msr_chapter":"","msr_edition":"","msr_editors":"","msr_how_published":"","msr_isbn":"","msr_issue":"","msr_journal":"","msr_number":"","msr_organization":"","msr_pages_string":"","msr_page_range_start":"","msr_page_range_end":"","msr_series":"","msr_volume":"","msr_copyright":"","msr_conference_name":"Machine Learning for Systems Workshop at 37th NeurIPS 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