On Dynamic Programming Decompositions of Static Risk Measures in Markov Decision Processes

no code implementations • NeurIPS 2023 • Jia Lin Hau, Erick Delage, Mohammad Ghavamzadeh, Marek Petrik

However, we show that these popular decompositions for Conditional-Value-at-Risk (CVaR) and Entropic-Value-at-Risk (EVaR) are inherently suboptimal regardless of the discretization level.

Reinforcement Learning (RL)

RASR: Risk-Averse Soft-Robust MDPs with EVaR and Entropic Risk

no code implementations • 9 Sep 2022 • Jia Lin Hau, Marek Petrik, Mohammad Ghavamzadeh, Reazul Russel

We propose and analyze a new framework to jointly model the risk associated with epistemic and aleatory uncertainties in finite-horizon and discounted infinite-horizon MDPs.

Reinforcement Learning (RL) Safe Reinforcement Learning