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cs.LG2025
Policy Newton methods for Distortion Riskmetrics
Soumen Pachal, Mizhaan Prajit Maniyar, Prashanth L. A
We consider the problem of risk-sensitive control in a reinforcement learning (RL) framework. In particular, we aim to find a risk-optimal policy by maximizing the distortion riskm…
cs.LG2019
Estimation of Spectral Risk Measures
Ajay Kumar Pandey, Prashanth L. A., Sanjay P. Bhat
We consider the problem of estimating a spectral risk measure (SRM) from i.i.d. samples, and propose a novel method that is based on numerical integration. We show that our SRM est…