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Risk-sensitive reinforcement learning using expectiles, shortfall risk and optimized certainty equivalent risk
Sumedh Gupte, Shrey Rakeshkumar Patel, Soumen Pachal +2
We propose risk-sensitive reinforcement learning algorithms catering to three families of risk measures, namely expectiles, utility-based shortfall risk and optimized certainty equ…
Correlated bandits or: How to minimize mean-squared error online
Vinay Praneeth Boda, Prashanth L. A
While the objective in traditional multi-armed bandit problems is to find the arm with the highest mean, in many settings, finding an arm that best captures information about other…
Concentration bounds for CVaR estimation: The cases of light-tailed and heavy-tailed distributions
Prashanth L. A., Krishna Jagannathan, Ravi Kumar Kolla
Conditional Value-at-Risk (CVaR) is a widely used risk metric in applications such as finance. We derive concentration bounds for CVaR estimates, considering separately the cases o…