2 citations · 2 across the 8 of their papers we have counts for
Showing 2024Show all
2 papers · 1 filter
cs.LG2024
A Finite-Sample Analysis of an Actor-Critic Algorithm for Mean-Variance Optimization in a Discounted MDP
Tejaram Sangadi, L. A. Prashanth, Krishna Jagannathan
Motivated by applications in risk-sensitive reinforcement learning, we study mean-variance optimization in a discounted reward Markov Decision Process (MDP). Specifically, we analy…
cs.LG2024
Concentration Bounds for Optimized Certainty Equivalent Risk Estimation
Ayon Ghosh, L. A. Prashanth, Krishna Jagannathan
We consider the problem of estimating the Optimized Certainty Equivalent (OCE) risk from independent and identically distributed (i.i.d.) samples. For the classic sample average ap…