Risk-Sensitive Deep RL: Variance-Constrained Actor-Critic Provably Finds Globally Optimal Policy

no code implementations • 28 Dec 2020 • Han Zhong, Xun Deng, Ethan X. Fang, Zhuoran Yang, Zhaoran Wang, Runze Li

In particular, we focus on a variance-constrained policy optimization problem where the goal is to find a policy that maximizes the expected value of the long-run average reward, subject to a constraint that the long-run variance of the average reward is upper bounded by a threshold.

reinforcement-learning Reinforcement Learning (RL)