Xuedong He

2 accepted papers

2025

Regret Bounds for Episodic Risk-Sensitive Linear Quadratic Regulator

ICLR 2025poster

Risk-sensitive linear quadratic regulator is one of the most fundamental problems in risk-sensitive optimal control. In this paper, we study online adaptive control of risk-sensitive linear quadratic regulator in the finite horizon episodic setting. We propose a simple least-squares greedy algorit…

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2023

Regret Bounds for Markov Decision Processes with Recursive Optimized Certainty Equivalents

Wenhao XU, Xuefeng Gao, Xuedong He

ICML 2023poster

The optimized certainty equivalent (OCE) is a family of risk measures that cover important examples such as entropic risk, conditional value-at-risk and mean-variance models. In this paper, we propose a new episodic risk-sensitive reinforcement learning formulation based on tabular Markov decision p…

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