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Algorithms for CVaR Optimization in MDPs
v1v2v3 (latest)

Algorithms for CVaR Optimization in MDPs

Neural Information Processing Systems (NeurIPS), 2014
12 June 2014
Yinlam Chow
Mohammad Ghavamzadeh
ArXiv (abs)PDFHTML

Papers citing "Algorithms for CVaR Optimization in MDPs"

50 / 121 papers shown
Tail-Safe Hedging: Explainable Risk-Sensitive Reinforcement Learning with a White-Box CBF--QP Safety Layer in Arbitrage-Free Markets
Tail-Safe Hedging: Explainable Risk-Sensitive Reinforcement Learning with a White-Box CBF--QP Safety Layer in Arbitrage-Free Markets
Jianán Zhang
149
0
0
06 Oct 2025
FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management
FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management
Jianán Zhang
254
0
0
03 Oct 2025
Bayesian Risk-Sensitive Policy Optimization For MDPs With General Loss Functions
Bayesian Risk-Sensitive Policy Optimization For MDPs With General Loss Functions
Xiaoshuang Wang
Yifan Lin
Enlu Zhou
216
0
0
19 Sep 2025
Off-Policy Actor-Critic for Adversarial Observation Robustness: Virtual Alternative Training via Symmetric Policy Evaluation
Off-Policy Actor-Critic for Adversarial Observation Robustness: Virtual Alternative Training via Symmetric Policy Evaluation
Kosuke Nakanishi
Akihiro Kubo
Yuji Yasui
Shin Ishii
AAMLOffRL
320
0
0
20 Jun 2025
Risk-Averse Traversal of Graphs with Stochastic and Correlated Edge Costs for Safe Global Planetary Mobility
Risk-Averse Traversal of Graphs with Stochastic and Correlated Edge Costs for Safe Global Planetary Mobility
Olivier Lamarre
Jonathan Kelly
270
2
0
19 May 2025
Measures of Variability for Risk-averse Policy Gradient
Measures of Variability for Risk-averse Policy Gradient
Yudong Luo
Yangchen Pan
Jiaqi Tan
Pascal Poupart
334
0
0
15 Apr 2025
Planning and Learning in Average Risk-aware MDPs
Planning and Learning in Average Risk-aware MDPs
Weikai Wang
Erick Delage
438
1
0
22 Mar 2025
Efficient Risk-sensitive Planning via Entropic Risk Measures
Efficient Risk-sensitive Planning via Entropic Risk Measures
Alexandre Marthe
Samuel Bounan
Aurélien Garivier
Claire Vernade
455
2
0
27 Feb 2025
Risk-averse policies for natural gas futures trading using distributional reinforcement learning
Risk-averse policies for natural gas futures trading using distributional reinforcement learning
Félicien Hêche
Biagio Nigro
Oussama Barakat
Stephan Robert-Nicoud
OffRL
279
3
0
08 Jan 2025
Beyond CVaR: Leveraging Static Spectral Risk Measures for Enhanced Decision-Making in Distributional Reinforcement Learning
Beyond CVaR: Leveraging Static Spectral Risk Measures for Enhanced Decision-Making in Distributional Reinforcement Learning
Mehrdad Moghimi
Hyejin Ku
OffRL
481
5
0
03 Jan 2025
Q-learning for Quantile MDPs: A Decomposition, Performance, and
  Convergence Analysis
Q-learning for Quantile MDPs: A Decomposition, Performance, and Convergence AnalysisInternational Conference on Artificial Intelligence and Statistics (AISTATS), 2024
J. Hau
Erick Delage
Esther Derman
Mohammad Ghavamzadeh
Marek Petrik
267
6
0
31 Oct 2024
GenSafe: A Generalizable Safety Enhancer for Safe Reinforcement Learning Algorithms Based on Reduced Order Markov Decision Process Model
GenSafe: A Generalizable Safety Enhancer for Safe Reinforcement Learning Algorithms Based on Reduced Order Markov Decision Process Model
Zhehua Zhou
Xuan Xie
Yuheng Huang
Zhan Shu
Lei Ma
472
2
0
06 Jun 2024
Simplification of Risk Averse POMDPs with Performance Guarantees
Simplification of Risk Averse POMDPs with Performance Guarantees
Yaacov Pariente
Vadim Indelman
343
0
0
05 Jun 2024
Policy Gradient Methods for Risk-Sensitive Distributional Reinforcement Learning with Provable Convergence
Policy Gradient Methods for Risk-Sensitive Distributional Reinforcement Learning with Provable Convergence
Minheng Xiao
Xian Yu
Lei Ying
430
1
0
23 May 2024
Reinforcement learning
Reinforcement learning
Florentin Wörgötter
731
3,169
0
16 May 2024
RACER: Epistemic Risk-Sensitive RL Enables Fast Driving with Fewer
  Crashes
RACER: Epistemic Risk-Sensitive RL Enables Fast Driving with Fewer Crashes
Kyle Stachowicz
Sergey Levine
316
10
0
07 May 2024
Robust Risk-Sensitive Reinforcement Learning with Conditional
  Value-at-Risk
Robust Risk-Sensitive Reinforcement Learning with Conditional Value-at-RiskInformation Theory Workshop (ITW), 2024
Xinyi Ni
Lifeng Lai
333
5
0
02 May 2024
Percentile Criterion Optimization in Offline Reinforcement Learning
Percentile Criterion Optimization in Offline Reinforcement Learning
Elita Lobo
Cyrus Cousins
Yair Zick
Marek Petrik
OffRL
303
5
0
07 Apr 2024
Risk-Aware Robotics: Tail Risk Measures in Planning, Control, and
  Verification
Risk-Aware Robotics: Tail Risk Measures in Planning, Control, and Verification
Prithvi Akella
Anushri Dixit
M. Ahmadi
Lars Lindemann
Margaret P. Chapman
George J. Pappas
Aaron D. Ames
J. W. Burdick
488
14
0
27 Mar 2024
Risk-Sensitive Soft Actor-Critic for Robust Deep Reinforcement Learning
  under Distribution Shifts
Risk-Sensitive Soft Actor-Critic for Robust Deep Reinforcement Learning under Distribution Shifts
Tobias Enders
James Harrison
Maximilian Schiffer
OOD
361
4
0
15 Feb 2024
Risk-Sensitive Multi-Agent Reinforcement Learning in Network Aggregative
  Markov Games
Risk-Sensitive Multi-Agent Reinforcement Learning in Network Aggregative Markov Games
Hafez Ghaemi
Hamed Kebriaei
Alireza Ramezani Moghaddam
Majid Nili Ahamadabadi
289
3
0
08 Feb 2024
Noise Distribution Decomposition based Multi-Agent Distributional
  Reinforcement Learning
Noise Distribution Decomposition based Multi-Agent Distributional Reinforcement LearningIEEE Transactions on Mobile Computing (IEEE TMC), 2023
Wei Geng
Baidi Xiao
Rongpeng Li
Ning Wei
Dong Wang
Zhifeng Zhao
318
3
0
12 Dec 2023
TRC: Trust Region Conditional Value at Risk for Safe Reinforcement
  Learning
TRC: Trust Region Conditional Value at Risk for Safe Reinforcement LearningIEEE Robotics and Automation Letters (RA-L), 2022
Dohyeong Kim
Songhwai Oh
278
24
0
01 Dec 2023
Provably Efficient CVaR RL in Low-rank MDPs
Provably Efficient CVaR RL in Low-rank MDPsInternational Conference on Learning Representations (ICLR), 2023
Yulai Zhao
Wenhao Zhan
Xiaoyan Hu
Ho-fung Leung
Farzan Farnia
Wen Sun
Jason D. Lee
318
6
0
20 Nov 2023
RiskQ: Risk-sensitive Multi-Agent Reinforcement Learning Value
  Factorization
RiskQ: Risk-sensitive Multi-Agent Reinforcement Learning Value FactorizationNeural Information Processing Systems (NeurIPS), 2023
Siqi Shen
Chennan Ma
Chao Li
Weiquan Liu
Yongquan Fu
Songzhu Mei
Xinwang Liu
Cheng-Yu Wang
310
25
0
03 Nov 2023
Pitfall of Optimism: Distributional Reinforcement Learning by
  Randomizing Risk Criterion
Pitfall of Optimism: Distributional Reinforcement Learning by Randomizing Risk CriterionNeural Information Processing Systems (NeurIPS), 2023
Taehyun Cho
Seung Han
Heesoo Lee
Kyungjae Lee
Jungwoo Lee
514
9
0
25 Oct 2023
Risk-Aware Reinforcement Learning through Optimal Transport Theory
Risk-Aware Reinforcement Learning through Optimal Transport Theory
Ali Baheri
177
8
0
12 Sep 2023
Extreme Risk Mitigation in Reinforcement Learning using Extreme Value
  Theory
Extreme Risk Mitigation in Reinforcement Learning using Extreme Value Theory
NS KarthikSomayaji
Yu Wang
M. Schram
Ján Drgoňa
M. Halappanavar
Frank Liu
Peng Li
244
4
0
24 Aug 2023
Robust Lagrangian and Adversarial Policy Gradient for Robust Constrained
  Markov Decision Processes
Robust Lagrangian and Adversarial Policy Gradient for Robust Constrained Markov Decision ProcessesConference on Algebraic Informatics (CAI), 2023
David M. Bossens
243
5
0
22 Aug 2023
Robust Quadrupedal Locomotion via Risk-Averse Policy Learning
Robust Quadrupedal Locomotion via Risk-Averse Policy LearningIEEE International Conference on Robotics and Automation (ICRA), 2023
Jiyuan Shi
Chenjia Bai
Haoran He
Lei Han
Dong Wang
Bin Zhao
Mingguo Zhao
Xiuyang Li
Xuelong Li
OffRLOOD
297
20
0
18 Aug 2023
An Alternative to Variance: Gini Deviation for Risk-averse Policy
  Gradient
An Alternative to Variance: Gini Deviation for Risk-averse Policy GradientNeural Information Processing Systems (NeurIPS), 2023
Yudong Luo
Guiliang Liu
Pascal Poupart
Yangchen Pan
412
14
0
17 Jul 2023
Distributional Model Equivalence for Risk-Sensitive Reinforcement
  Learning
Distributional Model Equivalence for Risk-Sensitive Reinforcement LearningNeural Information Processing Systems (NeurIPS), 2023
Tyler Kastner
Murat A. Erdogdu
Amir-massoud Farahmand
OffRL
409
8
0
04 Jul 2023
Is Risk-Sensitive Reinforcement Learning Properly Resolved?
Is Risk-Sensitive Reinforcement Learning Properly Resolved?
Ruiwen Zhou
Minghuan Liu
Kan Ren
Xufang Luo
Weinan Zhang
Dongsheng Li
325
3
0
02 Jul 2023
A Model-Based Method for Minimizing CVaR and Beyond
A Model-Based Method for Minimizing CVaR and BeyondInternational Conference on Machine Learning (ICML), 2023
S. Meng
Robert Mansel Gower
208
7
0
27 May 2023
Learning Diverse Risk Preferences in Population-based Self-play
Learning Diverse Risk Preferences in Population-based Self-playAAAI Conference on Artificial Intelligence (AAAI), 2023
Y. Jiang
Qihan Liu
Xiaoteng Ma
Chenghao Li
Yiqin Yang
Jun Yang
Bin Liang
Qianchuan Zhao
457
8
0
19 May 2023
Quantile-Based Deep Reinforcement Learning using Two-Timescale Policy
  Gradient Algorithms
Quantile-Based Deep Reinforcement Learning using Two-Timescale Policy Gradient Algorithms
Jinyang Jiang
Jiaqiao Hu
Yijie Peng
200
6
0
12 May 2023
On Dynamic Programming Decompositions of Static Risk Measures in Markov
  Decision Processes
On Dynamic Programming Decompositions of Static Risk Measures in Markov Decision ProcessesNeural Information Processing Systems (NeurIPS), 2023
J. Hau
Erick Delage
Mohammad Ghavamzadeh
Marek Petrik
518
14
0
24 Apr 2023
Forward-PECVaR Algorithm: Exact Evaluation for CVaR SSPs
Forward-PECVaR Algorithm: Exact Evaluation for CVaR SSPsAdaptive Agents and Multi-Agent Systems (AAMAS), 2023
Willy Arthur Silva Reis
D. B. Pais
Valdinei Freire
K. V. Delgado
167
0
0
01 Mar 2023
Near-Minimax-Optimal Risk-Sensitive Reinforcement Learning with CVaR
Near-Minimax-Optimal Risk-Sensitive Reinforcement Learning with CVaRInternational Conference on Machine Learning (ICML), 2023
Kaiwen Wang
Nathan Kallus
Wen Sun
461
35
0
07 Feb 2023
On the Global Convergence of Risk-Averse Natural Policy Gradient Methods with Expected Conditional Risk Measures
On the Global Convergence of Risk-Averse Natural Policy Gradient Methods with Expected Conditional Risk MeasuresInternational Conference on Machine Learning (ICML), 2023
Xian Yu
Lei Ying
380
6
0
26 Jan 2023
Risk-Averse Reinforcement Learning via Dynamic Time-Consistent Risk
  Measures
Risk-Averse Reinforcement Learning via Dynamic Time-Consistent Risk MeasuresIEEE Conference on Decision and Control (CDC), 2022
Xian Yu
Siqian Shen
200
5
0
14 Jan 2023
Offline Policy Optimization in RL with Variance Regularizaton
Offline Policy Optimization in RL with Variance Regularizaton
Riashat Islam
Samarth Sinha
Homanga Bharadhwaj
Samin Yeasar Arnob
Zhuoran Yang
Animesh Garg
Zhaoran Wang
Lihong Li
Doina Precup
OffRL
170
0
0
29 Dec 2022
Risk-Sensitive Reinforcement Learning with Exponential Criteria
Risk-Sensitive Reinforcement Learning with Exponential CriteriaIEEE Transactions on Cybernetics (IEEE Trans. Cybern.), 2022
Erfaun Noorani
Christos N. Mavridis
John S. Baras
379
15
0
18 Dec 2022
Non-stationary Risk-sensitive Reinforcement Learning: Near-optimal
  Dynamic Regret, Adaptive Detection, and Separation Design
Non-stationary Risk-sensitive Reinforcement Learning: Near-optimal Dynamic Regret, Adaptive Detection, and Separation DesignAAAI Conference on Artificial Intelligence (AAAI), 2022
Yuhao Ding
Ming Jin
Javad Lavaei
206
9
0
19 Nov 2022
Model-based Safe Deep Reinforcement Learning via a Constrained Proximal
  Policy Optimization Algorithm
Model-based Safe Deep Reinforcement Learning via a Constrained Proximal Policy Optimization AlgorithmNeural Information Processing Systems (NeurIPS), 2022
Ashish Kumar Jayant
S. Bhatnagar
OffRL
200
67
0
14 Oct 2022
Regret Bounds for Risk-Sensitive Reinforcement Learning
Regret Bounds for Risk-Sensitive Reinforcement LearningNeural Information Processing Systems (NeurIPS), 2022
Osbert Bastani
Y. Ma
E. Shen
Wei Xu
217
25
0
11 Oct 2022
RAP: Risk-Aware Prediction for Robust Planning
RAP: Risk-Aware Prediction for Robust PlanningConference on Robot Learning (CoRL), 2022
Haruki Nishimura
Jean Mercat
Blake Wulfe
R. McAllister
Adrien Gaidon
OOD
364
19
0
04 Oct 2022
RASR: Risk-Averse Soft-Robust MDPs with EVaR and Entropic Risk
RASR: Risk-Averse Soft-Robust MDPs with EVaR and Entropic Risk
J. Hau
Marek Petrik
Mohammad Ghavamzadeh
R. Russel
355
6
0
09 Sep 2022
Distributional Actor-Critic Ensemble for Uncertainty-Aware Continuous
  Control
Distributional Actor-Critic Ensemble for Uncertainty-Aware Continuous ControlIEEE International Joint Conference on Neural Network (IJCNN), 2022
T. Kanazawa
Haiyan Wang
Chetan Gupta
UQCV
309
7
0
27 Jul 2022
Deep Hedging: Continuous Reinforcement Learning for Hedging of General
  Portfolios across Multiple Risk Aversions
Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk AversionsInternational Conference on AI in Finance (ICAF), 2022
Phillip Murray
Ben Wood
Hans Buehler
Magnus Wiese
Mikko S. Pakkanen
193
27
0
15 Jul 2022
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