Research graph
References from Risk-Sensitive Reinforcement Learning via Policy Gradient Search. Local targets link to admitted publications; unresolved targets remain external evidence.
Parameter-free elicitation of utility and probability weighting functions
10.1287/mnsc.46.11.1497.12080 · 2000 · External reference
Learning algorithms for Markov decision processes with average cost
10.1137/s0363012999361974 · 2001 · External reference
Stochastic approximation for nonexpansive maps: Application to Q-learning algorithms
10.1137/s0363012998346621 · 2002 · External reference
Spectral measures of risk: A coherent representation of subjective risk aversion
10.1016/s0378-4266(02)00281-9 · 2002 · External reference
Stochastic optimization
1968 · External reference
Unresolved reference
1999 · External reference
Discrete-time controlled Markov processes with average cost criterion: A survey
10.1137/0331018 · 1993 · External reference
Unresolved reference
1971 · External reference
Coherent measures of risk
10.1111/1467-9965.00068 · 1999 · External reference
10.1007/978-0-387-69033-9
10.1007/978-0-387-69033-9 · 2007 · External reference
Properties of distortion risk measures
10.1007/s11009-008-9089-z · 2009 · External reference
Stochastic optimization with momentum: Convergence, fluctuations, and traps avoidance
10.1214/21-ejs1880 · 2021 · External reference
Thirty years of prospect theory in economics: A review and assessment
2013 · External reference
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
10.1515/mcma.2009.011 · 2009 · External reference
Unresolved reference
2011 · External reference
Neuron-like elements that can solve difficult learning control problems
1983 · External reference
A learning algorithm for risk-sensitive cost
10.1287/moor.1080.0324 · 2008 · External reference
More risk-sensitive Markov decision processes
10.1287/moor.2013.0601 · 2014 · External reference
Unresolved reference
1957 · External reference
Unresolved reference
2007 · External reference
Unresolved reference
2012 · External reference
Unresolved reference
1996 · External reference
Unresolved reference
2018 · External reference
Concentration of risk measures: A Wasserstein distance approach
2019 · External reference
An actor-critic algorithm with function approximation for discounted cost constrained Markov decision processes
10.1016/j.sysconle.2010.08.013 · 2010 · External reference
A Simulation-Based Algorithm for Ergodic Control of Markov Chains Conditioned on Rare Events
2006 · External reference
10.1007/978-1-4471-4285-0
10.1007/978-1-4471-4285-0 · 2013 · External reference
Natural actor-critic algorithms
10.1016/j.automatica.2009.07.008 · 2009 · External reference
A sensitivity formula for risk-sensitive cost and the actor-critic algorithm
10.1016/s0167-6911(01)00152-9 · 2001 · External reference
Q-learning for risk-sensitive control
10.1287/moor.27.2.294.324 · 2002 · External reference
An actor-critic algorithm for constrained Markov decision processes
10.1016/j.sysconle.2004.08.007 · 2005 · External reference
10.1007/978-93-86279-38-5
10.1007/978-93-86279-38-5 · 2008 · External reference
Unresolved reference
2010 · External reference
Unresolved reference
2010 · External reference
The ODE method for convergence of stochastic approximation and reinforcement learning
10.1137/s0363012997331639 · 2000 · External reference
Risk-sensitive optimal control for Markov decision processes with monotone cost
10.1287/moor.27.1.192.334 · 2002 · External reference
Stochastic approximation with two time scales
10.1016/s0167-6911(97)90015-3 · 1997 · External reference
Optimization methods for large-scale machine learning
10.1137/16m1080173 · 2018 · External reference
Les algorithmes stochastiques contournent-ils les pieges?
1996 · External reference
Large deviations bounds for estimating conditional value-at-risk
10.1016/j.orl.2007.01.001 · 2007 · External reference
Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
10.1287/moor.20.4.937 · 1995 · External reference
An experimental test of several generalized utility theories
10.1007/bf00055711 · 1989 · External reference
10.1007/978-94-011-2952-7_9
10.1007/978-94-011-2952-7_9 · 1992 · External reference
Violations of the betweenness axiom and nonlinearity in probability
10.1007/bf01065371 · 1994 · External reference
Risk-averse control of undiscounted transient Markov models
10.1137/13093902x · 2014 · External reference
10.1007/978-1-84628-690-2
10.1007/978-1-84628-690-2 · 2007 · External reference
10.1007/978-1-4471-5022-0
10.1007/978-1-4471-5022-0 · 2013 · External reference
Cost horizons and certainty equivalents: An approach to stochastic programming of heating oil
10.1287/mnsc.4.3.235 · 1958 · External reference
Unresolved reference
2009 · External reference
Risk-constrained reinforcement learning with percentile risk criteria
2017 · External reference
Three variants on the Allais example
1989 · External reference
Risk-Sensitive and Minimax Control of Discrete-Time, Finite-State Markov Decision Processes
10.1016/s0005-1098(98)00153-8 · 1999 · External reference
10.1007/978-1-4612-1784-8_2
10.1007/978-1-4612-1784-8_2 · 1999 · External reference
Mixed risk-neutral/minimax control of discrete-time, finite-state Markov decision processes
10.1109/9.847737 · 2000 · External reference
Unresolved reference
2020 · External reference
10.1609/aaai.v32i1.12079
10.1609/aaai.v32i1.12079 · 2018 · External reference
Optimization with stochastic dominance constraints
10.1137/s1052623402420528 · 2003 · External reference
Unresolved reference
1970 · External reference
Risk-sensitive optimal control of hidden Markov models: Structural results
10.1109/9.633830 · 1997 · External reference
Variance-penalized Markov decision processes
10.1287/moor.14.1.147 · 1989 · External reference
Percentile performance criteria for limiting average Markov decision processes
10.1109/9.362904 · 1995 · External reference
Risk-sensitive control on an infinite time horizon
10.1137/s0363012993258720 · 1995 · External reference
Convex measures of risk and trading constraints
10.1007/s007800200072 · 2002 · External reference
10.1515/9783110212075
10.1515/9783110212075 · 2004 · External reference
10.1515/9783110463453
10.1515/9783110463453 · 2016 · External reference
Unresolved reference
2006 · External reference
Stochastic Gradient Estimation
10.1007/978-1-4939-1384-8_5 · 2015 · External reference
Unresolved reference
2015 · External reference
Stochastic first-and zeroth-order methods for nonconvex stochastic programming
10.1137/120880811 · 2013 · External reference
10.21236/ada197085
10.21236/ada197085 · 1987 · External reference
On the shape of the probability weighting function
10.1006/cogp.1998.0710 · 1999 · External reference
Unresolved reference
2017 · External reference
10.1007/978-1-4757-3766-0
10.1007/978-1-4757-3766-0 · 2003 · External reference
Variancereduced methods for machine learning
2020 · External reference
Predictions about indifference curves inside the unit triangle: A test of variants of expected utility theory
10.1016/0167-2681(92)90017-6 · 1992 · External reference
Measure-valued differentiation for stochastic processes: the finite horizon case
2000 · External reference
Risk sensitive control of Markov processes in countable state space
10.1016/s0167-6911(96)00051-5 · 1996 · External reference
Existence of risk sensitive optimal stationary policies for controlled Markov processes
10.1007/s002459900126 · 1999 · External reference
Risk-sensitive Markov decision processes
10.1287/mnsc.18.7.356 · 1972 · External reference
Robust dynamic programming
10.1287/moor.1040.0129 · 2005 · External reference
Risk-averse approximate dynamic programming with quantile-based risk measures
10.1287/moor.2017.0872 · 2017 · External reference
Stochastic optimization in a cumulative prospect theory framework
10.1109/tac.2018.2822658 · 2018 · External reference
Unresolved reference
2017 · External reference
Prospect theory: An analysis of decision under risk
1979 · External reference
Stochastic estimation of the maximum of a regression function
10.1214/aoms/1177729392 · 1952 · External reference
Concentration bounds for empirical conditional value-at-risk: The unbounded case
10.1016/j.orl.2018.11.005 · 2019 · External reference
Actor-Critic-Type Learning Algorithms for Markov Decision Processes
10.1137/s036301299731669x · 1999 · External reference
Convergence rate of linear two-time-scale stochastic approximation
10.1214/105051604000000116 · 2004 · External reference
10.1007/978-1-4684-9352-8
10.1007/978-1-4684-9352-8 · 1978 · External reference
Unresolved reference
2013 · External reference
Probabilistically distorted risk-sensitive infinite-horizon dynamic programming
10.1016/j.automatica.2018.07.028 · 2018 · External reference
Unresolved reference
2013 · External reference
Unresolved reference
2013 · External reference
Algorithmic aspects of mean-variance optimization in Markov decision processes
10.1016/j.ejor.2013.06.019 · 2013 · External reference
Simulation-based optimization of Markov reward processes
10.1109/9.905687 · 2001 · External reference
10.1007/978-1-4612-4120-1_14
10.1007/978-1-4612-4120-1_14 · 1997 · External reference
Portfolio selection
1952 · External reference
Unresolved reference
1995 · External reference
Risk-sensitive reinforcement learning
10.1023/a:1017940631555 · 2002 · External reference
Chance-constrained programming with joint constraints
10.1287/opre.13.6.930 · 1965 · External reference
Unresolved reference
2022 · External reference
Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algorithms
10.1214/105051606000000448 · 2006 · External reference
Convex Approximations of Chance Constrained Programs
10.1137/050622328 · 2007 · External reference
Unresolved reference
2018 · External reference
Nonconvergence to unstable points in urn models and stochastic approximations
10.1214/aop/1176990853 · 1990 · External reference
Sampling derivatives of probabilities
10.1007/bf02243227 · 1989 · External reference
10.1007/978-1-4613-1449-3
10.1007/978-1-4613-1449-3 · 1996 · External reference
Acceleration of stochastic approximation by averaging
10.1137/0330046 · 1992 · External reference
Policy gradients for CVaR-constrained MDPs
10.1007/978-3-319-11662-4_12 · 2014 · External reference
Adaptive system optimization using random directions stochastic approximation
2018 · External reference
Actor-critic algorithms for risk-sensitive MDPs
2013 · External reference
Variance-constrained actor-critic algorithms for discounted and average reward MDPs
10.1007/s10994-016-5569-5 · 2016 · External reference
Unresolved reference
2020 · External reference
Unresolved reference
2016 · External reference
Concentration bounds for temporal difference learning with linear function approximation: The case of batch data and uniform sampling
10.1007/s10994-020-05912-5 · 2021 · External reference
Unresolved reference
2003 · External reference
Unresolved reference
1970 · External reference
The probability weighting function
1998 · External reference
10.1002/9780470316887
10.1002/9780470316887 · 1994 · External reference
Sensitivity analysis for simulations via likelihood ratios
10.1287/opre.37.5.830 · 1989 · External reference
Dynamic coherent risk measures
10.1016/j.spa.2004.03.004 · 2004 · External reference
A stochastic approximation method
1951 · External reference
Optimization of conditional value-at-risk
10.21314/jor.2000.038 · 2000 · External reference
Unresolved reference
1983 · External reference
Sensitivity analysis of computer simulation models via the score efficient
10.1287/opre.37.1.72 · 1989 · External reference
Stochastic approximation
1991 · External reference
Risk-averse dynamic programming for Markov decision processes
10.1007/s10107-010-0393-3 · 2010 · External reference
Conditional risk mappings
10.1287/moor.1060.0204 · 2006 · External reference
Unresolved reference
2009 · External reference
10.1137/1.9781611973433
10.1137/1.9781611973433 · 2014 · External reference
Risk-sensitive Markov control processes
10.1137/120899005 · 2013 · External reference
Unresolved reference
2019 · External reference
On general minimax theorems
10.2140/pjm.1958.8.171 · 1958 · External reference
The variance of discounted Markov decision processes
1982 · External reference
A test of generalized expected utility theory
10.1007/bf01075236 · 1993 · External reference
Multivariate stochastic approximation using simultaneous perturbation gradient approximation
10.1109/9.119632 · 1992 · External reference
Unresolved reference
2019 · External reference
Developments in non-expected utility theory: The hunt for a descriptive theory of choice under risk
2000 · External reference
Unresolved reference
1984 · External reference
Learning to predict by the methods of temporal differences
10.1023/a:1022633531479 · 1988 · External reference
Policy gradient methods for reinforcement learning with function approximation
1999 · External reference
Unresolved reference
2018 · External reference
Reinforcement learning algorithms for MDPs
10.1002/9780470400531.eorms0714 · 2011 · External reference
Unresolved reference
2007 · External reference
Unresolved reference
2012 · External reference
Policy gradient for coherent risk measures
2015 · External reference
Policy gradient for coherent risk measures
2015 · External reference
Unresolved reference
2013 · External reference
Unresolved reference
2014 · External reference
Unresolved reference
2014 · External reference
Unresolved reference
2019 · External reference
An analysis of temporal-difference learning with function approximation
10.1109/9.580874 · 1997 · External reference
Average cost temporal-difference learning
10.1016/s0005-1098(99)00099-0 · 1999 · External reference
Advances in prospect theory: Cumulative representation of uncertainty
10.1007/bf00122574 · 1992 · External reference
Deviation inequalities for an estimator of the conditional value-at-risk
10.1016/j.orl.2009.11.008 · 2010 · External reference
Unresolved reference
1990 · External reference
Global convergence of policy gradient methods to (almost) locally optimal policies
10.1137/19m1288012 · 2020 · External reference
