Poster

Risk-Averse Bayes-Adaptive Reinforcement Learning

Marc Rigter · Bruno Lacerda · Nick Hawes

Keywords: [ Reinforcement Learning and Planning ]

[ Abstract ]
Thu 9 Dec 8:30 a.m. PST — 10 a.m. PST

Abstract:

In this work, we address risk-averse Bayes-adaptive reinforcement learning. We pose the problem of optimising the conditional value at risk (CVaR) of the total return in Bayes-adaptive Markov decision processes (MDPs). We show that a policy optimising CVaR in this setting is risk-averse to both the epistemic uncertainty due to the prior distribution over MDPs, and the aleatoric uncertainty due to the inherent stochasticity of MDPs. We reformulate the problem as a two-player stochastic game and propose an approximate algorithm based on Monte Carlo tree search and Bayesian optimisation. Our experiments demonstrate that our approach significantly outperforms baseline approaches for this problem.

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