Dept. of Computer Science, National University of Singapore, Republic of Singapore; Dept. of Electrical Engineering and Computer Science, MIT, USA
Quoc Phong Nguyen, Zhongxiang Dai, Bryan Kian Hsiang Low, Patrick Jaillet
Bayesian optimization;conditional value-at-risk;CVaR;UCB;Thompson sampling
Optimizing Conditional Value-At-Risk of Black-Box Functions