RASR: Risk-Averse Soft-Robust MDPs with EVaR and Entropic Risk

no code implementations • 9 Sep 2022 • Jia Lin Hau, Marek Petrik, Mohammad Ghavamzadeh, Reazul Russel

We propose and analyze a new framework to jointly model the risk associated with epistemic and aleatory uncertainties in finite-horizon and discounted infinite-horizon MDPs.

Reinforcement Learning (RL) Safe Reinforcement Learning