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cs.LG2026
Finite-Time Analysis of Discounted Exponential-Utility Reinforcement Learning
Ankur Naskar, Vivek T A, Aditya Kumar +2
Discounted exponential utility provides a principled criterion for risk-sensitive sequential decision-making, but its nonlinear structure complicates reinforcement learning. A rece…
cs.LG2026
Reinforcement Learning for Exponential Utility: Algorithms and Convergence in Discounted MDPs
Gugan Thoppe, L. A. Prashanth, Ankur Naskar +1
Reinforcement learning (RL) for exponential-utility optimization in discounted Markov decision processes (MDPs) lacks principled value-based algorithms. We address this gap in the…
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…