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math.OC2026
Dynamic Programming for Value-at-Risk Markov Decision Processes in Continuous Spaces
Xian Chen, Erick Delage, Weikai Wang
Value-at-Risk (VaR) is a widely adopted quantile-based risk measure in practice, yet incorporating VaR objectives into Markov decision processes (VaR MDPs) remains a longstanding c…
cs.LG2026
Online Policy Evaluation for MDPs with Dynamic UBSR Measures
Weikai Wang, Erick Delage
Developing efficient function-approximation methods for policy evaluation is a fundamental challenge in risk-aware reinforcement learning. Existing approaches either focus on restr…