4 citations · 7 across the 10 of their papers we have counts for
4 papers · 1 filter
Eliciting Risk Aversion with Inverse Reinforcement Learning via Interactive Questioning
Ziteng Cheng, Anthony Coache, Sebastian Jaimungal
We investigate a framework for robo-advisors to estimate non-expert clients' risk aversion using adaptive binary-choice questionnaires. We model risk aversion using cost functions…
The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain
Tomasz R. Bielecki, Ziteng Cheng, Ruoting Gong
We consider an additive functional driven by a time-inhomogeneous Markov chain with a finite state space. Our study focuses on the joint distribution of the two-sided exit time and…
Distributional Method for Risk Averse Reinforcement Learning
Ziteng Cheng, Sebastian Jaimungal, Nick Martin
We introduce a distributional method for learning the optimal policy in risk averse Markov decision process with finite state action spaces, latent costs, and stationary dynamics.…
Risk-averse mean field games: exploitability and non-asymptotic analysis
Ziteng Cheng, Sebastian Jaimungal
In this paper, we use mean field games (MFGs) to investigate approximations of -player games (pGs) with uniformly symmetrically continuous heterogeneous closed-loop actions.…