Risk-Sensitive Reinforcement Learning
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Publication:5383780
DOI10.1162/NECO_a_00600zbMath1410.91175arXiv1311.2097WikidataQ50672224 ScholiaQ50672224MaRDI QIDQ5383780
Tobias Sommer, Yun Shen, Michael J. Tobia, Klaus Obermayer
Publication date: 20 June 2019
Published in: Neural Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.2097
Decision theory (91B06) Neural biology (92C20) Biomedical imaging and signal processing (92C55) Utility theory (91B16) Memory and learning in psychology (91E40)
Related Items (8)
Reference points and learning ⋮ Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures ⋮ Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning ⋮ Recent advances in reinforcement learning in finance ⋮ Reinforcement learning with dynamic convex risk measures ⋮ Per-Round Knapsack-Constrained Linear Submodular Bandits ⋮ Prospect-theoretic Q-learning ⋮ Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
Cites Work
- Risk-averse dynamic programming for Markov decision processes
- Advances in prospect theory: cumulative representation of uncertainty
- Risk sensitive control of Markov processes in countable state space
- Convex measures of risk and trading constraints
- Risk-sensitive reinforcement learning
- Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains
- Coherent Measures of Risk
- Risk-Sensitive Markov Control Processes
- Prospect Theory: An Analysis of Decision under Risk
- Risk-Sensitive Markov Decision Processes
- Q-Learning for Risk-Sensitive Control
- Stochastic finance. An introduction in discrete time
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