2 papers
q-fin.RM2025
Robust Bayesian Dynamic Programming for On-policy Risk-sensitive Reinforcement Learning
Shanyu Han, Yangbo He, Yang Liu
We propose a novel framework for risk-sensitive reinforcement learning (RSRL) that incorporates robustness against transition uncertainty. We define two distinct yet coupled risk m…
q-fin.MF2025
Risk-sensitive Reinforcement Learning Based on Convex Scoring Functions
Shanyu Han, Yang Liu, Xiang Yu
We propose a reinforcement learning (RL) framework under a broad class of risk objectives, characterized by convex scoring functions. This class covers many common risk measures, s…