相关论文: Measures of Variability for Risk-averse Policy Gra…

Restricting the variance of a policy's return is a popular choice in risk-averse Reinforcement Learning (RL) due to its clear mathematical definition and easy interpretability. Traditional methods directly restrict the total return…

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…

Distributional reinforcement learning (RL) -- in which agents learn about all the possible long-term consequences of their actions, and not just the expected value -- is of great recent interest. One of the most important affordances of a…

In safety-critical decision-making, the environment may evolve over time, and the learner adjusts its risk level accordingly. This work investigates risk-averse online optimization in dynamic environments with varying risk levels, employing…

In domains such as finance, healthcare, and robotics, managing worst-case scenarios is critical, as failure to do so can lead to catastrophic outcomes. Distributional Reinforcement Learning (DRL) provides a natural framework to incorporate…

Learning a predictive model of the mean return, or value function, plays a critical role in many reinforcement learning algorithms. Distributional reinforcement learning (DRL) has been shown to improve performance by modeling the value…

In order to model risk aversion in reinforcement learning, an emerging line of research adapts familiar algorithms to optimize coherent risk functionals, a class that includes conditional value-at-risk (CVaR). Because optimizing the…

Deep reinforcement learning has recently made significant progress in solving computer games and robotic control tasks. A known problem, though, is that policies overfit to the training environment and may not avoid rare, catastrophic…

This paper studies a distributed policy gradient in collaborative multi-agent reinforcement learning (MARL), where agents over a communication network aim to find the optimal policy to maximize the average of all agents' local returns. Due…

One major obstacle that precludes the success of reinforcement learning in real-world applications is the lack of robustness, either to model uncertainties or external disturbances, of the trained policies. Robustness is critical when the…

In real-world decision-making problems, for instance in the fields of finance, robotics or autonomous driving, keeping uncertainty under control is as important as maximizing expected returns. Risk aversion has been addressed in the…

Reinforcement learning (RL) experiments have notoriously high variance, and minor details can have disproportionately large effects on measured outcomes. This is problematic for creating reproducible research and also serves as an obstacle…

Many novel notions of "risk" (e.g., CVaR, tilted risk, DRO risk) have been proposed and studied, but these risks are all at least as sensitive as the mean to loss tails on the upside, and tend to ignore deviations on the downside. We study…

In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in costs in addition to minimizing a standard criterion. Conditional value-at-risk (CVaR) is a relatively new risk measure that…

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…

In real-world scenarios, risk-averse learning is valuable for mitigating potential adverse outcomes. However, the delayed feedback makes it challenging to assess and manage risk effectively. In this paper, we investigate risk-averse…

Lack of reliability is a well-known issue for reinforcement learning (RL) algorithms. This problem has gained increasing attention in recent years, and efforts to improve it have grown substantially. To aid RL researchers and production…

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…

In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability $\alpha$, the $100\alpha\%$ VaR is…

Risk-sensitive reinforcement learning (RL) is crucial for maintaining reliable performance in high-stakes applications. While traditional RL methods aim to learn a point estimate of the random cumulative cost, distributional RL (DRL) seeks…