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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.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…