相关论文: Boosting CVaR Policy Optimization with Quantile Gr…

This paper presents a Quantum Reinforcement Learning (QRL) solution to the dynamic portfolio optimization problem based on Variational Quantum Circuits. The implemented QRL approaches are quantum analogues of the classical…

We study Bayesian persuasion when the receiver evaluates actions by reward-side Conditional Value-at-Risk (CVaR) rather than expected utility. CVaR preferences break the standard action-based direct-recommendation reduction: merging signals…

Variational quantum algorithms (VQAs) provide a promising approach to achieving quantum advantage for practical problems on near-term noisy intermediate-scale quantum (NISQ) devices. Thus far, most studies on VQAs have focused on…

Multi-Objective Reinforcement Learning (MORL) is a generalization of traditional Reinforcement Learning (RL) that aims to optimize multiple, often conflicting objectives simultaneously rather than focusing on a single reward. This approach…

The quantile varying coefficient (VC) model can flexibly capture dynamical patterns of regression coefficients. In addition, due to the quantile check loss function, it is robust against outliers and heavy-tailed distributions of the…

We introduce a semiparametric approach for forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) by modeling the conditional scale of financial returns, defined as the difference between two specified quantiles, via restricted…

The increasing value of data held in enterprises makes it an attractive target to attackers. The increasing likelihood and impact of a cyber attack have highlighted the importance of effective cyber risk estimation. We propose two methods…

Cross-validation (CV) is one of the main tools for performance estimation and parameter tuning in machine learning. The general recipe for computing CV estimate is to run a learning algorithm separately for each CV fold, a computationally…

Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth and risk. We consider online learning…

Policy gradient (PG) methods are the backbone of many reinforcement learning algorithms due to their good performance in policy optimization problems. As a gradient-based approach, PG methods typically rely on knowledge of the system…

Modern policy gradient algorithms, such as TRPO and PPO, outperform vanilla policy gradient in many RL tasks. Questioning the common belief that enforcing approximate trust regions leads to steady policy improvement in practice, we show…

We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider the distributionally robust versions of these problems, where…

We introduce a fast and scalable method for solving quadratic programs with conditional value-at-risk (CVaR) constraints. While these problems can be formulated as standard quadratic programs, the number of variables and constraints grows…

We propose a distributionally robust index tracking model with the conditional value-at-risk (CVaR) penalty. The model combines the idea of distributionally robust optimization for data uncertainty and the CVaR penalty to avoid large…

We propose policy gradient algorithms for solving a risk-sensitive reinforcement learning (RL) problem in on-policy as well as off-policy settings. We consider episodic Markov decision processes, and model the risk using the broad class of…

Improving the sample efficiency in reinforcement learning has been a long-standing research problem. In this work, we aim to reduce the sample complexity of existing policy gradient methods. We propose a novel policy gradient algorithm…

Efficient resource allocation is essential for optimizing various tasks in wireless networks, which are usually formulated as generalized assignment problems (GAP). GAP, as a generalized version of the linear sum assignment problem,…

Recent advances in policy gradient methods and deep learning have demonstrated their applicability for complex reinforcement learning problems. However, the variance of the performance gradient estimates obtained from the simulation is…

The policy gradient approach is a flexible and powerful reinforcement learning method particularly for problems with continuous actions such as robot control. A common challenge in this scenario is how to reduce the variance of policy…

We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asset allocation problem in which each asset…