Policy Evaluation with Variance Related Risk Criteria in Markov Decision Processes

Aviv Tamar; Dotan Di Castro; Shie Mannor

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arXiv · 1301.0104

Policy Evaluation with Variance Related Risk Criteria in Markov Decision Processes

Aviv Tamar·Dotan Di Castro·Shie Mannor

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Abstract

In this paper we extend temporal difference policy evaluation algorithms to performance criteria that include the variance of the cumulative reward. Such criteria are useful for risk management, and are important in domains such as finance and process control. We propose both TD(0) and LSTD(lambda) variants with linear function approximation, prove their convergence, and demonstrate their utility in a 4-dimensional continuous state space problem.

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Aviv Tamar, Dotan Di Castro, Shie Mannor. 2013-01-01. Policy Evaluation with Variance Related Risk Criteria in Markov Decision Processes. https://arxiv.org/abs/1301.0104

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