Related papers: Risk-averse learning with delayed feedback

Risk measure forecast and model have been developed in order to not only provide better forecast but also preserve its (empirical) property especially coherent property. Whilst the widely used risk measure of Value-at-Risk (VaR) has shown…

In several real-world applications involving decision making under uncertainty, the traditional expected value objective may not be suitable, as it may be necessary to control losses in the case of a rare but extreme event. Conditional…

Robot navigation in dynamic, crowded environments poses a significant challenge due to the inherent uncertainties in the obstacle model. In this work, we propose a risk-adaptive approach based on the Conditional Value-at-Risk Barrier…

In this work, we study risk-aware reinforcement learning for quadrupedal locomotion. Our approach trains a family of risk-conditioned policies using a Conditional Value-at-Risk (CVaR) constrained policy optimization technique that provides…

This paper proposes a safety analysis method that facilitates a tunable balance between the worst-case and risk-neutral perspectives. First, we define a risk-sensitive safe set to specify the degree of safety attained by a stochastic…

We study risk-sensitive Reinforcement Learning (RL), where we aim to maximize the Conditional Value at Risk (CVaR) with a fixed risk tolerance $\tau$. Prior theoretical work studying risk-sensitive RL focuses on the tabular Markov Decision…

Optimizing risk measures such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) of a general loss distribution is usually difficult, because 1) the loss function might lack structural properties such as convexity or…

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…

Conditional Value at Risk (CVaR) is widely used to account for the preferences of a risk-averse agent in the extreme loss scenarios. To study the effectiveness of randomization in interdiction games with an interdictor that is both risk and…

In this paper, we study the Bayesian risk-averse formulation in reinforcement learning (RL). To address the epistemic uncertainty due to a lack of data, we adopt the Bayesian Risk Markov Decision Process (BRMDP) to account for the parameter…

This paper develops a safety analysis method for stochastic systems that is sensitive to the possibility and severity of rare harmful outcomes. We define risk-sensitive safe sets as sub-level sets of the solution to a non-standard optimal…

Value-at-Risk (VaR) is an institutional measure of risk favored by financial regulators. VaR may be interpreted as a quantile of future portfolio values conditional on the information available, where the most common quantile used is 95%.…

Risk-averse total-reward Markov Decision Processes (MDPs) offer a promising framework for modeling and solving undiscounted infinite-horizon objectives. Existing model-based algorithms for risk measures like the entropic risk measure (ERM)…

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…

This work studies the dynamic risk management of the risk-neutral value of the potential credit losses on a portfolio of derivatives. Sensitivities-based hedging of such liability is sub-optimal because of bid-ask costs, pricing models…

We study the design of risk-sensitive online algorithms, in which risk measures are used in the competitive analysis of randomized online algorithms. We introduce the CVaR$_\delta$-competitive ratio ($\delta$-CR) using the conditional…

Optimizing dynamic risk with stochastic policies is challenging in both policy updates and value learning. The former typically requires transition perturbation, while the latter may rely on model-based approaches. To address these…

In risk-averse reinforcement learning (RL), the goal is to optimize some risk measure of the returns. A risk measure often focuses on the worst returns out of the agent's experience. As a result, standard methods for risk-averse RL often…

Online learning and model reference adaptive control have many interesting intersections. One area where they differ however is in how the algorithms are analyzed and what objective or metric is used to discriminate "good" algorithms from…

Several authors have recently developed risk-sensitive policy gradient methods that augment the standard expected cost minimization problem with a measure of variability in cost. These studies have focused on specific risk-measures, such as…