相关论文: Near-Optimal Sample Complexity for Iterated CVaR R…

Conditional value-at-risk (CVaR) and value-at-risk (VaR) are popular tail-risk measures in finance and insurance industries as well as in highly reliable, safety-critical uncertain environments where often the underlying probability…

Risk-sensitive reinforcement learning (RL) has garnered significant attention in recent years due to the growing interest in deploying RL agents in real-world scenarios. A critical aspect of risk awareness involves modeling highly rare risk…

This paper considers variational inequalities (VI) defined by the conditional value-at-risk (CVaR) of uncertain functions and provides three stochastic approximation schemes to solve them. All methods use an empirical estimate of the CVaR…

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…

Contrastive Representation Learning (CRL) has achieved strong empirical success in multiple machine learning disciplines, yet its theoretical sample complexity remains poorly understood. Existing analyses usually assume that input tuples…

We initiate the mathematical study of replicability as an algorithmic property in the context of reinforcement learning (RL). We focus on the fundamental setting of discounted tabular MDPs with access to a generative model. Inspired by…

Financial portfolios are often optimized for maximum profit while subject to a constraint formulated in terms of the Conditional Value-at-Risk (CVaR). This amounts to solving a linear problem. However, in its original formulation this…

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…

We consider an online stochastic game with risk-averse agents whose goal is to learn optimal decisions that minimize the risk of incurring significantly high costs. Specifically, we use the Conditional Value at Risk (CVaR) as a risk measure…

Offline reinforcement learning aims to learn from pre-collected datasets without active exploration. This problem faces significant challenges, including limited data availability and distributional shifts. Existing approaches adopt a…

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…

Developing simple, sample-efficient learning algorithms for robust classification is a pressing issue in today's tech-dominated world, and current theoretical techniques requiring exponential sample complexity and complicated improper…

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…

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…

In many applications of Reinforcement Learning (RL), it is critically important that the algorithm performs safely, such that instantaneous hard constraints are satisfied at each step, and unsafe states and actions are avoided. However,…

Offline reinforcement learning (RL) enables policy learning from static data but often suffers from poor coverage of the state-action space and distributional shift problems. This problem can be addressed by allowing limited online…

Conditional Value at Risk (CVaR) is a family of "coherent risk measures" which generalize the traditional mathematical expectation. Widely used in mathematical finance, it is garnering increasing interest in machine learning, e.g., as an…

The objective in a traditional reinforcement learning (RL) problem is to find a policy that optimizes the expected value of a performance metric such as the infinite-horizon cumulative discounted or long-run average cost/reward. In…

Bilevel reinforcement learning (BRL) has emerged as a powerful framework for aligning generative models, yet its theoretical foundations, especially sample complexity bounds, remain underexplored. In this work, we present the first sample…

Performance and reliability analyses of autonomous vehicles (AVs) can benefit from tools that ``amplify'' small datasets to synthesize larger volumes of plausible samples of the AV's behavior. We consider a specific instance of this data…