4 accepted papers
We consider the problem of risk-sensitive control in a reinforcement learning (RL) framework. In particular, we aim to find a risk-optimal policy by maximizing the distortion riskmetric (DRM) of the discounted reward in a finite-horizon Markov decision process (MDP). DRMs are a rich class of risk me
This paper introduces a general framework for risk-sensitive bandits that integrates the notions of risk-sensitive objectives by adopting a rich class of {\em distortion riskmetrics}. The introduced framework subsumes the various existing risk-sensitive models. An important and hitherto unknown obse…
We consider an average reward reinforcement learning (RL) problem and work with asymptotic variance as a risk measure to model safety-critical applications. We design a temporal-difference (TD) type algorithm tailored for policy evaluation in this context. Our algorithm is based on linear stochastic…
We tackle the problem of estimating risk measures of the infinite-horizon discounted cost of a Markov cost process. The risk measures we study include variance, Value-at-Risk (VaR), and Conditional Value-at-Risk (CVaR). First, we show that estimating any of these risk measures with $\epsilon$-accura…