Inverse Risk-Sensitive Reinforcement Learning
Abstract
We address the problem of inverse reinforcement learning in Markov decision processes where the agent is risk-sensitive. In particular, we model risk-sensitivity in a reinforcement learning framework by making use of models of human decision-making having their origins in behavioral psychology, behavioral economics, and neuroscience. We propose a gradient-based inverse reinforcement learning algorithm that minimizes a loss function defined on the observed behavior. We demonstrate the performance of the proposed technique on two examples, the first of which is the canonical Grid World example and the second of which is a Markov decision process modeling passengers' decisions regarding ride-sharing. In the latter, we use pricing and travel time data from a ride-sharing company to construct the transition probabilities and rewards of the Markov decision process.
Cite
@article{arxiv.1703.09842,
title = {Inverse Risk-Sensitive Reinforcement Learning},
author = {Lillian J. Ratliff and Eric Mazumdar},
journal= {arXiv preprint arXiv:1703.09842},
year = {2017}
}
Comments
v3 (comments regarding updates): We significantly extended the theory (Theorem 2, 3, 5 and Proposition 3). We also correct some minor typos throughout the document; v2 (comments regarding updates): We corrected some notational typos and made clarifications in the proof. We also added clarifying remarks regarding reference points and acceptance levels which were previously conflated