WebFeb 10, 2024 · While previous work considers optimizing the average performance using offline data, we focus on optimizing a risk-averse criteria, namely the CVaR. In particular, we present the Offline Risk-Averse Actor-Critic (O-RAAC), a model-free RL algorithm that is able to learn risk-averse policies in a fully offline setting. WebRisk-Averse Reinforcement Learning: Algorithms and Meta-Algorithms Author. Bo Liu, Bo An, Yangyang Xu Abstract and slides. Recently, many research works have emerged toward single-agent and multi-agent autonomous decision-making. Many IT gurus are now building self-driving vehicles and medical robots, and the development of advanced autonomous ...
Option hedging with risk averse reinforcement learning
Web•Problem: optimize the CVaR risk-measure in RL •Standard methods: optimize wrt worst episodes •Small part of data sample inefficient •Worst part of data blindness to success … WebSample Efficient Reinforcement Learning with REINFORCE. Junzi Zhang, Jongho Kim, Brendan O'Donoghue, Stephen Boyd. ... Mean-Variance Policy Iteration for Risk-Averse Reinforcement Learning. Shangtong Zhang, Bo Liu, Shimon Whiteson. 10905-10913. PDF; Toward Understanding the Influence of Individual Clients in Federated Learning. peterson nuts cleveland ohio
Learning Bounds for Risk-sensitive Learning - NeurIPS
WebFeb 25, 2014 · The results show that our algorithm outperforms the risk-neutral reinforcement learning algorithm by 1) keeping the trading cost at a substantially low level at the spot when the flash crash ... WebDec 1, 2024 · In this paper we introduce risk-averse robust adversarial reinforcement learning (RARARL), using a risk-averse protagonist and a risk-seeking adversary. We test our approach on a self-driving vehicle controller. We use an ensemble of policy networks to model risk as the variance of value functions. WebDec 1, 2024 · In this paper we introduce risk-averse robust adversarial reinforcement learning (RARARL), using a risk-averse protagonist and a risk-seeking adversary. We … peterson nursing home osage city ks