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In order to model risk aversion in reinforcement learning, an emerging line of research adapts familiar algorithms to optimize coherent risk functionals, a class that includes conditional value-at-risk (CVaR). Because optimizing the…

Machine Learning · Computer Science 2021-03-09 Audrey Huang , Liu Leqi , Zachary C. Lipton , Kamyar Azizzadenesheli

In this paper, we present an online reinforcement learning algorithm for constrained Markov decision processes with a safety constraint. Despite the necessary attention of the scientific community, considering stochastic stopping time, the…

Machine Learning · Computer Science 2024-03-26 Abhijit Mazumdar , Rafal Wisniewski , Manuela L. Bujorianu

In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in rewards in addition to maximizing a standard criterion. Variance related risk measures are among the most common…

Machine Learning · Computer Science 2015-03-19 Prashanth L. A. , Mohammad Ghavamzadeh

In many robotic tasks, agents must traverse a sequence of spatial regions to complete a mission. Such problems are inherently mixed discrete-continuous: a high-level action sequence and a physically feasible continuous trajectory. The…

Robotics · Computer Science 2026-04-21 Lidor Erez , Shahaf S. Shperberg , Ayal Taitler

Robust Reinforcement Learning aims to derive optimal behavior that accounts for model uncertainty in dynamical systems. However, previous studies have shown that by considering the worst case scenario, robust policies can be overly…

Machine Learning · Computer Science 2018-10-25 Esther Derman , Daniel J. Mankowitz , Timothy A. Mann , Shie Mannor

We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegative one step costs are assumed to be lower semi-continuous…

Optimization and Control · Mathematics 2018-06-05 Kerem Ugurlu

While reinforcement learning has shown experimental success in a number of applications, it is known to be sensitive to noise and perturbations in the parameters of the system, leading to high variance in the total reward amongst different…

Systems and Control · Electrical Eng. & Systems 2024-12-02 Erfaun Noorani , Christos Mavridis , John Baras

Constraint handling plays a key role in solving realistic complex optimization problems. Though intensively discussed in the last few decades, existing constraint handling techniques predominantly rely on human experts' designs, which more…

Neural and Evolutionary Computing · Computer Science 2026-02-03 Qianhao Zhu , Sijie Ma , Zeyuan Ma , Hongshu Guo , Yue-Jiao Gong

Many safety-critical control problems are modeled as risk-sensitive partially observable Markov decision processes, where the controller must make decisions from incomplete observations while balancing task performance against safety risk.…

Machine Learning · Computer Science 2026-05-15 Yushen Liu , Yin-Jen Chen , Ziyi Chen , Tao Wang , Heng Huang , Xugui Zhou , Yanfu Zhang

Real-world reinforcement learning (RL) problems often demand that agents behave safely by obeying a set of designed constraints. We address the challenge of safe RL by coupling a safety guide based on model predictive control (MPC) with a…

Machine Learning · Computer Science 2022-03-30 Samuel Pfrommer , Tanmay Gautam , Alec Zhou , Somayeh Sojoudi

This paper develops a path planner that minimizes risk (e.g. motion execution) while maximizing accumulated reward (e.g., quality of sensor viewpoint) motivated by visual assistance or tracking scenarios in unstructured or confined…

Robotics · Computer Science 2019-03-11 Xuesu Xiao , Jan Dufek , Robin Murphy

Current model-based reinforcement learning approaches use the model simply as a learned black-box simulator to augment the data for policy optimization or value function learning. In this paper, we show how to make more effective use of the…

Machine Learning · Computer Science 2020-05-19 Ignasi Clavera , Violet Fu , Pieter Abbeel

An important problem in sequential decision-making under uncertainty is to use limited data to compute a safe policy, i.e., a policy that is guaranteed to perform at least as well as a given baseline strategy. In this paper, we develop and…

Machine Learning · Statistics 2016-07-14 Marek Petrik , Yinlam Chow , Mohammad Ghavamzadeh

Reinforcement learning suffers from limitations in real practices primarily due to the number of required interactions with virtual environments. It results in a challenging problem because we are implausible to obtain a local optimal…

Machine Learning · Computer Science 2024-10-28 Qizhen Wu , Kexin Liu , Lei Chen

We study the robustness of deep reinforcement learning algorithms against distribution shifts within contextual multi-stage stochastic combinatorial optimization problems from the operations research domain. In this context, risk-sensitive…

Machine Learning · Computer Science 2024-02-16 Tobias Enders , James Harrison , Maximilian Schiffer

Safety is essential for reinforcement learning (RL) applied in real-world situations. Chance constraints are suitable to represent the safety requirements in stochastic systems. Previous chance-constrained RL methods usually have a low…

Machine Learning · Computer Science 2021-03-17 Baiyu Peng , Yao Mu , Yang Guan , Shengbo Eben Li , Yuming Yin , Jianyu Chen

In this work we address the problem of finding feasible policies for Constrained Markov Decision Processes under probability one constraints. We argue that stationary policies are not sufficient for solving this problem, and that a rich…

Machine Learning · Computer Science 2023-02-14 Agustin Castellano , Hancheng Min , Juan Bazerque , Enrique Mallada

Euclidean Markov decision processes are a powerful tool for modeling control problems under uncertainty over continuous domains. Finite state imprecise, Markov decision processes can be used to approximate the behavior of these infinite…

Artificial Intelligence · Computer Science 2020-06-29 Manfred Jaeger , Giorgio Bacci , Giovanni Bacci , Kim Guldstrand Larsen , Peter Gjøl Jensen

This work investigates the challenge of ensuring safety guarantees in the presence of uncontrollable agents, whose behaviors are stochastic and depend on both their own and the system's states. We present a neural model predictive control…

Systems and Control · Electrical Eng. & Systems 2026-04-21 Shuqi Wang , Mingyang Feng , Yu Chen , Yue Gao , Xiang Yin

In dynamic programming and reinforcement learning, the policy for the sequential decision making of an agent in a stochastic environment is usually determined by expressing the goal as a scalar reward function and seeking a policy that…

Artificial Intelligence · Computer Science 2025-02-26 Simon Dima , Simon Fischer , Jobst Heitzig , Joss Oliver