| Autor: |
Kose, Umit, Ruszczynski, Andrzej |
| Rok vydání: |
2020 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
We consider reinforcement learning with performance evaluated by a dynamic risk measure. We construct a projected risk-averse dynamic programming equation and study its properties. Then we propose risk-averse counterparts of the methods of temporal differences and we prove their convergence with probability one. We also perform an empirical study on a complex transportation problem. |
| Databáze: |
arXiv |
| Externí odkaz: |
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