Related papers: Mean-Semivariance Policy Optimization via Risk-Ave…

We describe a new approach for managing aleatoric uncertainty in the Reinforcement Learning (RL) paradigm. Instead of selecting actions according to a single statistic, we propose a distributional method based on the second-order stochastic…

This paper compares the optimal investment problems based on monotone mean-variance (MMV) and mean-variance (MV) preferences in the L\'{e}vy market with an untradable stochastic factor. It is an open question proposed by Trybu{\l}a and…

In reinforcement learning, we typically refer to unsupervised pre-training when we aim to pre-train a policy without a priori access to the task specification, i.e. rewards, to be later employed for efficient learning of downstream tasks.…

Tail-end risk measures such as static conditional value-at-risk (CVaR) are used in safety-critical applications to prevent rare, yet catastrophic events. Unlike risk-neutral objectives, the static CVaR of the return depends on entire…

Considering non-stationary environments in online optimization enables decision-maker to effectively adapt to changes and improve its performance over time. In such cases, it is favorable to adopt a strategy that minimizes the negative…

In this paper, we study the continuous-time multi-asset mean-variance (MV) portfolio selection using a reinforcement learning (RL) algorithm, specifically the soft actor-critic (SAC) algorithm, in the time-varying financial market. A family…

The monotone mean-variance (MMV) preference proposed by Maccheroni, et al. (Math. Finance 19(3): 487-521, 2009) fails to differentiate strictly dominant payoffs, which may cause inconsistency in portfolio decision-making. This paper…

Safe reinforcement learning (RL) offers advanced solutions to constrained optimal control problems. Existing studies in safe RL implicitly assume continuity in policy functions, where policies map states to actions in a smooth,…

We consider the challenge of finding a deterministic policy for a Markov decision process that uniformly (in all states) maximizes one reward subject to a probabilistic constraint over a different reward. Existing solutions do not fully…

Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of Neyman-Pearson type binary solution. We…

Reinforcement learning (RL) offers significant promise for machinery fault detection (MFD). However, most existing RL-based MFD approaches do not fully exploit RL's sequential decision-making strengths, often treating MFD as a simple…

We study the estimation of risk-sensitive policies in reinforcement learning problems defined by a Markov Decision Process (MDPs) whose state and action spaces are countably finite. Prior efforts are predominately afflicted by computational…

In this paper, we study the learning of safe policies in the setting of reinforcement learning problems. This is, we aim to control a Markov Decision Process (MDP) of which we do not know the transition probabilities, but we have access to…

Reinforcement learning (RL) methods often rely on massive exploration data to search optimal policies, and suffer from poor sampling efficiency. This paper presents a mixed reinforcement learning (mixed RL) algorithm by simultaneously using…

This paper investigates a mean-field game (MFG) problem for mean-variance (MV) portfolio management, highlighting a new type of relative performance encoded by the peer-based risk aversion. Specifically, the risk aversion is formulated as a…

Distributional reinforcement learning (RL) -- in which agents learn about all the possible long-term consequences of their actions, and not just the expected value -- is of great recent interest. One of the most important affordances of a…

We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time-inconsistency, which prevents us from directly using…

Markov decision problems are most commonly solved via dynamic programming. Another approach is Bellman residual minimization, which directly minimizes the squared Bellman residual objective function. However, compared to dynamic…

Robust Markov decision processes (MDPs) address the challenge of model uncertainty by optimizing the worst-case performance over an uncertainty set of MDPs. In this paper, we focus on the robust average-reward MDPs under the model-free…

We consider the problem of finding optimal policies for a Markov Decision Process with almost sure constraints on state transitions and action triplets. We define value and action-value functions that satisfy a barrier-based decomposition…