3 papers
cs.LG2026
Cantelli Constrained Policy Optimization
Rohan Tangri, Jan-Peter Calliess
We introduce Canary, a risk-averse method designed to optimize Value-at-Risk (VaR) constrained reinforcement learning (RL) problems. We employ Cantelli's inequality to obtain a tra…
q-fin.TR2023
Generalizing Impermanent Loss on Decentralized Exchanges with Constant Function Market Makers
Rohan Tangri, Peter Yatsyshin, Elisabeth A. Duijnstee +1
Liquidity providers are essential for the function of decentralized exchanges to ensure liquidity takers can be guaranteed a counterparty for their trades. However, liquidity provi…
cs.LG2022
Pearl: Parallel Evolutionary and Reinforcement Learning Library
Rohan Tangri, Danilo P. Mandic, Anthony G. Constantinides
Reinforcement learning is increasingly finding success across domains where the problem can be represented as a Markov decision process. Evolutionary computation algorithms have al…