Algorithms for offline bandits must optimize decisions in uncertain environments using only offline data. A compelling and increasingly popular objective in offline bandits is to learn a policy which achieves low Bayesian regret with high confidence. An appealing approach to this problem, inspired by recent offline reinforcement learning results, is to maximize a form of lower confidence bound (LCB). This paper proposes a new approach that directly minimizes upper bounds on Bayesian regret using efficient conic optimization solvers. Our bounds build on connections among Bayesian regret, Value-at-Risk (VaR), and chance-constrained optimization. Compared to prior work, our algorithm attains superior theoretical offline regret bounds and better results in numerical simulations. Finally, we provide some evidence that popular LCB-style algorithms may be unsuitable for minimizing Bayesian regret in offline bandits.

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