3 papers
stat.ML2026
Optimized Certainty Equivalent Risk Minimization Using Samples: Algorithms, Convergence Rates, and Applications
Sumedh Gupte, Prashanth L. A., Sanjay P. Bhat
We consider the optimization of the Optimized Certainty Equivalent (OCE) risk, with applications including portfolio optimization in finance, and uncertainty quantification, classi…
cs.CE2026
Gradient-based Stochastic Optimization of Utility-based Shortfall Risk
Sumedh Gupte, Prashanth L. A., Sanjay P. Bhat
We consider the problems of estimation and optimization of utility-based shortfall risk (UBSR). We extend UBSR to cover possibly unbounded random variables. We cover prominent risk…
cs.LG2026
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…