相关论文: Risk-averse Total-reward MDPs with ERM and EVaR

To overcome the curse of dimensionality and curse of modeling in Dynamic Programming (DP) methods for solving classical Markov Decision Process (MDP) problems, Reinforcement Learning (RL) algorithms are popular. In this paper, we consider…

In the context of first-order algorithms subject to random gradient noise, we study the trade-offs between the convergence rate (which quantifies how fast the initial conditions are forgotten) and the "risk" of suboptimality, i.e.…

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 consider the problem of learning models for risk-sensitive reinforcement learning. We theoretically demonstrate that proper value equivalence, a method of learning models which can be used to plan optimally in the risk-neutral setting,…

We consider a problem of learning the reward and policy from expert examples under unknown dynamics. Our proposed method builds on the framework of generative adversarial networks and introduces the empowerment-regularized maximum-entropy…

Learning a near optimal policy in a partially observable system remains an elusive challenge in contemporary reinforcement learning. In this work, we consider episodic reinforcement learning in a reward-mixing Markov decision process (MDP).…

We consider a liquidation problem in which a risk-averse trader tries to liquidate a fixed quantity of an asset in the presence of market impact and random price fluctuations. The trader encounters a trade-off between the transaction costs…

This paper studies the problem of data collection for policy evaluation in Markov decision processes (MDPs). In policy evaluation, we are given a target policy and asked to estimate the expected cumulative reward it will obtain in an…

Distributional reinforcement learning (DRL) enhances the understanding of the effects of the randomness in the environment by letting agents learn the distribution of a random return, rather than its expected value as in standard RL. At the…

We consider risk-averse learning in repeated unknown games where the goal of the agents is to minimize their individual risk of incurring significantly high cost. Specifically, the agents use the conditional value at risk (CVaR) as a risk…

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…

A crucial problem in reinforcement learning is learning the optimal policy. We study this in tabular infinite-horizon discounted Markov decision processes under the online setting. The existing algorithms either fail to achieve regret…

The use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives is investigated. The ability to move beyond the class of convex risk measures considered in…

This paper presents a model-free reinforcement learning (RL) algorithm to solve the risk-averse optimal control (RAOC) problem for discrete-time nonlinear systems. While successful RL algorithms have been presented to learn optimal control…

Inverse reinforcement learning (IRL) addresses the problem of recovering a task description given a demonstration of the optimal policy used to solve such a task. The optimal policy is usually provided by an expert or teacher, making IRL…

We consider the infinite-horizon linear Markov Decision Processes (MDPs), where the transition probabilities of the dynamic model can be linearly parameterized with the help of a predefined low-dimensional feature mapping. While the…

In this paper we study the differentially private Empirical Risk Minimization (ERM) problem in different settings. For smooth (strongly) convex loss function with or without (non)-smooth regularization, we give algorithms that achieve…

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)…

This paper develops a path planner that minimizes risk (e.g. motion execution) while maximizing accumulated reward (e.g., quality of sensor viewpoint) motivated by visual assistance or tracking scenarios in unstructured or confined…

We study algorithms for average-cost reinforcement learning problems with value function approximation. Our starting point is the recently proposed POLITEX algorithm, a version of policy iteration where the policy produced in each iteration…