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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 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
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…