Related papers: Online Risk-Averse Planning in POMDPs Using Iterat…

This paper studies the optimization of Markov decision processes (MDPs) from a risk-seeking perspective, where the risk is measured by conditional value-at-risk (CVaR). The objective is to find a policy that maximizes the long-run CVaR of…

The global financial crisis of 2007-2009 highlighted the crucial role systemic risk plays in ensuring stability of financial markets. Accurate assessment of systemic risk would enable regulators to introduce suitable policies to mitigate…

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…

For many real-world decision-making problems subject to uncertainty, it may be essential to deal with multiple and often conflicting objectives while taking the decision-makers' risk preferences into account. Conditional value-at-risk…

Autonomous systems are often required to operate in partially observable environments. They must reliably execute a specified objective even with incomplete information about the state of the environment. We propose a methodology to…

Conditional Value-at-Risk (CVaR) is a widely used risk-sensitive objective for learning under rare but high-impact losses, yet its statistical behavior under heavy-tailed data remains poorly understood. Unlike expectation-based risk, CVaR…

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…

The problem of finding the optimal portfolio for investors is called the portfolio optimization problem. Such problem mainly concerns the expectation and variability of return (i.e., mean and variance). Although the variance would be the…

Rather than augmenting rewards with penalties for undesired behavior, Constrained Partially Observable Markov Decision Processes (CPOMDPs) plan safely by imposing inviolable hard constraint value budgets. Previous work performing online…

We account for time-varying parameters in the conditional expectile-based value at risk (EVaR) model. The EVaR downside risk is more sensitive to the magnitude of portfolio losses compared to the quantile-based value at risk (QVaR). Rather…

In this work, we study the sample complexity problem of risk-sensitive Reinforcement Learning (RL) with a generative model, where we aim to maximize the Conditional Value at Risk (CVaR) with risk tolerance level $\tau$ at each step, a…

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…

Autonomous cyber and cyber-physical systems need to perform decision-making, learning, and control in unknown environments. Such decision-making can be sensitive to multiple factors, including modeling errors, changes in costs, and impacts…

Value-at-risk (VaR), also known as quantile, is a crucial risk measure in finance and other fields. However, optimizing VaR metrics in Markov decision processes (MDPs) is challenging because VaR is non-additive and the traditional dynamic…

Solving partially observable Markov decision processes (POMDPs) with high dimensional and continuous observations, such as camera images, is required for many real life robotics and planning problems. Recent researches suggested machine…

The standard approach to risk-averse control is to use the Exponential Utility (EU) functional, which has been studied for several decades. Like other risk-averse utility functionals, EU encodes risk aversion through an increasing convex…

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…

The valuation of over-the-counter derivatives is subject to a series of valuation adjustments known as xVA, which pose additional risks for financial institutions. Associated risk measures, such as the value-at-risk of an underlying…

In centralized multi-agent systems, often modeled as multi-agent partially observable Markov decision processes (MPOMDPs), the action and observation spaces grow exponentially with the number of agents, making the value and belief…

Online planning under uncertainty in partially observable domains is an essential capability in robotics and AI. The partially observable Markov decision process (POMDP) is a mathematically principled framework for addressing…