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cs.LG2026
Reinforcement learning with an expectile-based objective
Sumedh Gupte, Shrey Rakeshkumar Patel, Soumen Pachal +2
We consider the policy evaluation and control in a finite horizon reinforcement learning (RL) setting under an expectile-based objective. First, we derive the mean-squared error (M…
cs.LG2023
Optimization of utility-based shortfall risk: A non-asymptotic viewpoint
Sumedh Gupte, Prashanth L. A., Sanjay P. Bhat
We consider the problems of estimation and optimization of utility-based shortfall risk (UBSR), which is a popular risk measure in finance. In the context of UBSR estimation, we de…