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cs.LG2026
Reinforcement Learning with Markov Risk Measures and Multipattern Risk Approximation
Andrzej Ruszczynski, Tiangang Zhang
For a risk-averse finite-horizon Markov Decision Process, we introduce a special class of Markov coherent risk measures, called mini-batch measures. We also define the class of mul…
cs.LG2025
Federated Calculation of the Free-Support Transportation Barycenter by Single-Loop Dual Decomposition
Zhengqi Lin, Andrzej Ruszczyński
We propose an efficient federated dual decomposition algorithm for calculating the Wasserstein barycenter of several distributions, including choosing the support of the solution.…
cs.LG2023★ 1 cited
Fast Dual Subgradient Optimization of the Integrated Transportation Distance Between Stochastic Kernels
Zhengqi Lin, Andrzej Ruszczynski
A generalization of the Wasserstein metric, the integrated transportation distance, establishes a novel distance between probability kernels of Markov systems. This metric serves a…