Related papers: Markov Decision Processes with Value-at-Risk Crite…

Markov decision processes (MDPs) are standard models for probabilistic systems with non-deterministic behaviours. Long-run average rewards provide a mathematically elegant formalism for expressing long term performance. Value iteration (VI)…

We consider large-scale Markov decision processes (MDPs) with a risk measure of variability in cost, under the risk-aware MDPs paradigm. Previous studies showed that risk-aware MDPs, based on a minimax approach to handling risk, can be…

Dynamic optimization of mean and variance in Markov decision processes (MDPs) is a long-standing challenge caused by the failure of dynamic programming. In this paper, we propose a new approach to find the globally optimal policy for…

Many control problems in environments that can be modeled as Markov decision processes (MDPs) concern infinite-time horizon specifications. The classical aim in this context is to compute a control policy that maximizes the probability of…

Robust Markov Decision Processes (RMDPs) have received significant research interest, offering an alternative to standard Markov Decision Processes (MDPs) that often assume fixed transition probabilities. RMDPs address this by optimizing…

Constrained decision-making is essential for designing safe policies in real-world control systems, yet simulated environments often fail to capture real-world adversities. We consider the problem of learning a policy that will maximize the…

It was recently shown that dynamic programming (DP) methods for finding static CVaR-optimal policies in Markov Decision Processes (MDPs) can fail when based on the dual formulation, yet the root cause of this failure remains unclear. We…

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…

Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (minimize…

Algorithms developed under stationary Markov Decision Processes (MDPs) often face challenges in non-stationary environments, and infinite-horizon formulations may not directly apply to finite-horizon tasks. To address these limitations, we…

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)…

Value-at-Risk (VaR) is one of the main regulatory tools used for risk management purposes. However, it is difficult to compute optimal VaR portfolios; that is, an optimal risk-reward portfolio allocation using VaR as the risk measure. This…

Optimizing static risk-averse objectives in Markov decision processes is difficult because they do not admit standard dynamic programming equations common in Reinforcement Learning (RL) algorithms. Dynamic programming decompositions that…

Planning in Markov decision processes (MDPs) typically optimises the expected cost. However, optimising the expectation does not consider the risk that for any given run of the MDP, the total cost received may be unacceptably high. An…

Risk averse decision making under uncertainty in partially observable domains is a fundamental problem in AI and essential for reliable autonomous agents. In our case, the problem is modeled using partially observable Markov decision…

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…

The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is strongly monotone over its domain and…

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…

In robust Markov decision processes (MDPs), the uncertainty in the transition kernel is addressed by finding a policy that optimizes the worst-case performance over an uncertainty set of MDPs. While much of the literature has focused on…

We present the first finite time global convergence analysis of policy gradient in the context of infinite horizon average reward Markov decision processes (MDPs). Specifically, we focus on ergodic tabular MDPs with finite state and action…