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arXiv · 2301.05981

Risk-Averse Reinforcement Learning via Dynamic Time-Consistent Risk Measures

Xian Yu·Siqian Shen
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Abstract

Traditional reinforcement learning (RL) aims to maximize the expected total reward, while the risk of uncertain outcomes needs to be controlled to ensure reliable performance in a risk-averse setting. In this paper, we consider the problem of maximizing dynamic risk of a sequence of rewards in infinite-horizon Markov Decision Processes (MDPs). We adapt the Expected Conditional Risk Measures (ECRMs) to the infinite-horizon risk-averse MDP and prove its time consistency. Using a convex combination of expectation and conditional value-at-risk (CVaR) as a special one-step conditional risk measure, we reformulate the risk-averse MDP as a risk-neutral counterpart with augmented action space and manipulation on the immediate rewards. We further prove that the related Bellman operator is a contraction mapping, which guarantees the convergence of any value-based RL algorithms. Accordingly, we develop a risk-averse deep Q-learning framework, and our numerical studies based on two simple MDPs show that the risk-averse setting can reduce the variance and enhance robustness of the results.

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Xian Yu, Siqian Shen. 2023-01-14. Risk-Averse Reinforcement Learning via Dynamic Time-Consistent Risk Measures. https://doi.org/10.1109/cdc51059.2022.9992450

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