Related papers: A Simple Mixture Policy Parameterization for Impro…
Risk-sensitive reinforcement learning (RL) aims to optimize policies that balance the expected reward and risk. In this paper, we present a novel risk-sensitive RL framework that employs an Iterated Conditional Value-at-Risk (CVaR)…
In this paper, we consider the problem of learning safe policies for probabilistic-constrained reinforcement learning (RL). Specifically, a safe policy or controller is one that, with high probability, maintains the trajectory of the agent…
Deep reinforcement learning (RL) agents trained in a limited set of environments tend to suffer overfitting and fail to generalize to unseen testing environments. To improve their generalizability, data augmentation approaches (e.g. cutout…
CVaR (Conditional Value at Risk) is a risk metric widely used in finance. However, dynamically optimizing CVaR is difficult since it is not a standard Markov decision process (MDP) and the principle of dynamic programming fails. In this…
Multi-Objective Reinforcement Learning (MORL) is a generalization of traditional Reinforcement Learning (RL) that aims to optimize multiple, often conflicting objectives simultaneously rather than focusing on a single reward. This approach…
The classical risk-neutral newsvendor problem is to decide the order quantity that maximises the expected profit. Some recent works have proposed an alternative model, in which the goal is to minimise the conditional value-at-risk (CVaR), a…
Reinforcement Learning (RL) has emerged as a powerful tool for neural combinatorial optimization, enabling models to learn heuristics that solve complex problems without requiring expert knowledge. Despite significant progress, existing RL…
Reinforcement Learning with Verifiable Rewards (RLVR) has proven effective for Large Language Model (LLM) reasoning, yet current methods face key challenges in resource allocation and policy optimization dynamics: (i) uniform rollout…
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 consider an improper reinforcement learning setting where a learner is given $M$ base controllers for an unknown Markov decision process, and wishes to combine them optimally to produce a potentially new controller that can outperform…
System stabilization via policy gradient (PG) methods has drawn increasing attention in both control and machine learning communities. In this paper, we study their convergence and sample complexity for stabilizing linear time-invariant…
This paper proposes a new approach to estimating the distribution of a response variable conditioned on observing some factors. The proposed approach possesses desirable properties of flexibility, interpretability, tractability and…
Policy optimization methods are popular reinforcement learning algorithms, because their incremental and on-policy nature makes them more stable than the value-based counterparts. However, the same properties also make them slow to converge…
The Stochastic Shortest Path (SSP) problem models probabilistic sequential-decision problems where an agent must pursue a goal while minimizing a cost function. Because of the probabilistic dynamics, it is desired to have a cost function…
We propose a distributionally robust index tracking model with the conditional value-at-risk (CVaR) penalty. The model combines the idea of distributionally robust optimization for data uncertainty and the CVaR penalty to avoid large…
A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal…
The goal of reinforcement learning (RL) is to let an agent learn an optimal control policy in an unknown environment so that future expected rewards are maximized. The model-free RL approach directly learns the policy based on data samples.…
This paper investigates the use of retrospective approximation solution paradigm in solving risk-averse optimization problems effectively via importance sampling (IS). While IS serves as a prominent means for tackling the large sample…
The popularity of Conditional Value-at-Risk (CVaR), a risk functional from finance, has been growing in the control systems community due to its intuitive interpretation and axiomatic foundation. We consider a nonstandard optimal control…
Policy gradient based reinforcement learning algorithms coupled with neural networks have shown success in learning complex policies in the model free continuous action space control setting. However, explicitly parameterized policies are…