deep hedging 1neural networks 1policy gradient 1reinforcement learning 1risk measures 1stochastic optimal control 1
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cs.LG2024
Survival Multiarmed Bandits with Bootstrapping Methods
Peter Veroutis, Frédéric Godin
The Multiarmed Bandits (MAB) problem has been extensively studied and has seen many practical applications in a variety of fields. The Survival Multiarmed Bandits (S-MAB) open prob…
cs.LG2024
Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients
Parisa Davar, Frédéric Godin, Jose Garrido
This paper tackles the problem of mitigating catastrophic risk (which is risk with very low frequency but very high severity) in the context of a sequential decision making process…