A Unifying Theory of Thompson Sampling for Continuous Risk-Averse Bandits

This paper unifies the design and the analysis of risk-averse Thompson sampling algorithms for the multi-armed bandit problem for a class of risk functionals $ρ$ that are continuous and dominant. We prove generalised concentration bounds for these continuous and dominant risk functionals and show that a wide class of popular risk functionals belong to this class. Using our newly developed analytical toolkits, we analyse the algorithm $ρ$-MTS (for multinomial distributions) and prove that they admit asymptotically optimal regret bounds of risk-averse algorithms under CVaR, proportional hazard, and other ubiquitous risk measures. More generally, we prove the asymptotic optimality of $ρ$-MTS for Bernoulli distributions for a class of risk measures known as empirical distribution performance measures (EDPMs); this includes the well-known mean-variance. Numerical simulations show that the regret bounds incurred by our algorithms are reasonably tight vis-à-vis algorithm-independent lower bounds.

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