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We study risk-sensitive reinforcement learning (RL), a crucial field due to its ability to enhance decision-making in scenarios where it is essential to manage uncertainty and minimize potential adverse outcomes. Particularly, our work…
Due to the nature of risk management in learning applicable policies, risk-sensitive reinforcement learning (RSRL) has been realized as an important direction. RSRL is usually achieved by learning risk-sensitive objectives characterized by…
We propose a reinforcement learning (RL) framework under a broad class of risk objectives, characterized by convex scoring functions. This class covers many common risk measures, such as variance, Expected Shortfall, entropic Value-at-Risk,…
In domains such as finance, healthcare, and robotics, managing worst-case scenarios is critical, as failure to do so can lead to catastrophic outcomes. Distributional Reinforcement Learning (DRL) provides a natural framework to incorporate…
The feasibility of making profitable trades on a single asset on stock exchanges based on patterns identification has long attracted researchers. Reinforcement Learning (RL) and Natural Language Processing have gained notoriety in these…
Despite recent advances in reinforcement learning (RL), its application in safety critical domains like autonomous vehicles is still challenging. Although punishing RL agents for risky situations can help to learn safe policies, it may also…
For highly automated driving above SAE level~3, behavior generation algorithms must reliably consider the inherent uncertainties of the traffic environment, e.g. arising from the variety of human driving styles. Such uncertainties can…
The development of Distributional Reinforcement Learning (DRL) has introduced a natural way to incorporate risk sensitivity into value-based and actor-critic methods by employing risk measures other than expectation in the value function.…
The literature on Inverse Reinforcement Learning (IRL) typically assumes that humans take actions in order to minimize the expected value of a cost function, i.e., that humans are risk neutral. Yet, in practice, humans are often far from…
Reinforcement Learning (RL) bears the promise of being a game-changer in many applications. However, since most of the literature in the field is currently focused on opaque models, the use of RL in high-stakes scenarios, where…
Bus holding control is challenging due to stochastic traffic and passenger demand. While deep reinforcement learning (DRL) shows promise, standard actor-critic algorithms suffer from Q-value instability in volatile environments. A key…
This paper studies continuous-time risk-sensitive reinforcement learning (RL) under the entropy-regularized, exploratory diffusion process formulation with the exponential-form objective. The risk-sensitive objective arises either as the…
Reinforcement learning (RL) combines a control problem with statistical estimation: The system dynamics are not known to the agent, but can be learned through experience. A recent line of research casts `RL as inference' and suggests a…
In this paper, we study a novel episodic risk-sensitive Reinforcement Learning (RL) problem, named Iterated CVaR RL, which aims to maximize the tail of the reward-to-go at each step, and focuses on tightly controlling the risk of getting…
We propose an optimistic model-based algorithm, dubbed SMRL, for finite-horizon episodic reinforcement learning (RL) when the transition model is specified by exponential family distributions with $d$ parameters and the reward is bounded…
Safe reinforcement learning (RL) is a popular and versatile paradigm to learn reward-maximizing policies with safety guarantees. Previous works tend to express the safety constraints in an expectation form due to the ease of implementation,…
Reinforcement learning (RL) is increasingly applied to real-world problems involving complex and structured decisions, such as routing, scheduling, and assortment planning. These settings challenge standard RL algorithms, which struggle to…
We study a robust alternative to empirical risk minimization called distributionally robust learning (DRL), in which one learns to perform against an adversary who can choose the data distribution from a specified set of distributions. We…
Complementary-label learning is a weakly supervised learning problem in which each training example is associated with one or multiple complementary labels indicating the classes to which it does not belong. Existing consistent approaches…
Reinforcement Learning (RL) has recently received significant attention from the process systems engineering and control communities. Recent works have investigated the application of RL to identify optimal scheduling decision in the…