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Multistage risk-averse optimal control problems with nested conditional risk mappings are gaining popularity in various application domains. Risk-averse formulations interpolate between the classical expectation-based stochastic and minimax…

This paper studies flexible multi-facility capacity expansion with risk aversion. In this setting, the decision maker can periodically expand the capacity of facilities given observations of uncertain demand. We model this situation as a…

Enforcing safety in the presence of stochastic uncertainty is a challenging problem. Traditionally, researchers have proposed safety in the statistical mean as a safety measure in this case. However, ensuring safety in the statistical mean…

Dynamic Mode Decomposition (DMD) has emerged as a powerful tool for analyzing the dynamics of non-linear systems from experimental datasets. Recently, several attempts have extended DMD to the context of low-rank approximations. This…

Risk-sensitive reinforcement learning (RL) has garnered significant attention in recent years due to the growing interest in deploying RL agents in real-world scenarios. A critical aspect of risk awareness involves modeling highly rare risk…

What are the functionals of the reward that can be computed and optimized exactly in Markov Decision Processes?In the finite-horizon, undiscounted setting, Dynamic Programming (DP) can only handle these operations efficiently for certain…

Invariant Causal Prediction (Peters et al., 2016) is a technique for out-of-distribution generalization which assumes that some aspects of the data distribution vary across the training set but that the underlying causal mechanisms remain…

This paper develops risk-averse models to support system operators in planning and operating the electricity grid under uncertainty from renewable power generation. We incorporate financial risk hedging using conditional value at risk…

We study a risk-constrained version of the stochastic shortest path (SSP) problem, where the risk measure considered is Conditional Value-at-Risk (CVaR). We propose two algorithms that obtain a locally risk-optimal policy by employing four…

Sequential decisions in volatile, high-stakes settings require more than maximizing expected return; they require principled uncertainty management. This paper presents the Uncertainty-Aware Markov Decision Process (UAMDP), a unified…

Recent advances in recommender systems have shown that user-system interaction essentially formulates long-term optimization problems, and online reinforcement learning can be adopted to improve recommendation performance. The general…

Ensuring safety is a critical challenge in applying Reinforcement Learning (RL) to real-world scenarios. Constrained Reinforcement Learning (CRL) addresses this by maximizing returns under predefined constraints, typically formulated as the…

Deep reinforcement learning has recently made significant progress in solving computer games and robotic control tasks. A known problem, though, is that policies overfit to the training environment and may not avoid rare, catastrophic…

Reinforcement Learning (RL) has gained substantial attention across diverse application domains and theoretical investigations. Existing literature on RL theory largely focuses on risk-neutral settings where the decision-maker learns to…

We study risk-sensitive reinforcement learning (RL) based on an entropic risk measure in episodic non-stationary Markov decision processes (MDPs). Both the reward functions and the state transition kernels are unknown and allowed to vary…

Sharpe ratio (also known as reward-to-variability ratio) is a widely-used metric in finance, which measures the additional return at the cost of per unit of increased risk (standard deviation of return). However, the optimization of Sharpe…

We study the problem of incorporating risk while making combinatorial decisions under uncertainty. We formulate a discrete submodular maximization problem for selecting a set using Conditional-Value-at-Risk (CVaR), a risk metric commonly…

Recently, several works have shown that natural modifications of the classical conditional gradient method (aka Frank-Wolfe algorithm) for constrained convex optimization, provably converge with a linear rate when: i) the feasible set is a…

Safety is a fundamental challenge in reinforcement learning (RL), particularly in real-world applications such as autonomous driving, robotics, and healthcare. To address this, Constrained Markov Decision Processes (CMDPs) are commonly used…

Measuring risk is at the center of modern financial risk management. As the world economy is becoming more complex and standard modeling assumptions are violated, the advanced artificial intelligence solutions may provide the right tools to…