Knothe-Rosenblatt Quantile Regression for Risk-sensitive Multi-objective Reinforcement Learning
In this work, we extend distributional reinforcement learning (RL) to develop a risk-sensitive multi-objective RL framework, with applications to domains such as finance and robotics. We achieve this by adopting vector-risk measures and approximating them via Knothe-Rosenblatt (KR) quantile regressi…