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Contextual bandits with average-case statistical guarantees are inadequate in risk-averse situations because they might trade off degraded worst-case behaviour for better average performance.
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Sample complexity of risk-averse bandit-arm selection
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Resourceful contextual bandits
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A risk-based simulation and multi-objective optimization framework for the integration of distributed renewable generation and storage
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Joaquin Vanschoren, Jan N Van Rijn, Bernd Bischl, and Luis Torgo · 2014
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Coherence and elicitability
Johanna F Ziegel · 2016
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Corralling a band of bandit algorithms
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