On Dynamic Programming Decompositions of Static Risk Measures in Markov Decision Processes

Optimizing static risk-averse objectives in Markov decision processes is difficult because they do not admit standard dynamic programming equations common in Reinforcement Learning (RL) algorithms. Dynamic programming decompositions that augment the state space with discrete risk levels have recently gained popularity in the RL community. Prior work has shown that these decompositions are optimal when the risk level is discretized sufficiently. However, we show that these popular decompositions for Conditional-Value-at-Risk (CVaR) and Entropic-Value-at-Risk (EVaR) are inherently suboptimal regardless of the discretization level. In particular, we show that a saddle point property assumed to hold in prior literature may be violated. However, a decomposition does hold for Value-at-Risk and our proof demonstrates how this risk measure differs from CVaR and EVaR. Our findings are significant because risk-averse algorithms are used in high-stake environments, making their correctness much more critical

Constrained Risk-Averse Markov Decision Processes

We consider the problem of designing policies for Markov decision processes (MDPs) with dynamic coherent risk objectives and constraints. We begin by formulating the problem in a Lagrangian framework. Under the assumption that the risk objectives and constraints can be represented by a Markov risk transition mapping, we propose an optimization-based method to synthesize Markovian policies that lower-bound the constrained risk-averse problem. We demonstrate that the formulated optimization problems are in the form of difference convex programs (DCPs) and can be solved by the disciplined convex-concave programming (DCCP) framework. We show that these results generalize linear programs for constrained MDPs with total discounted expected costs and constraints. Finally, we illustrate the effectiveness of the proposed method with numerical experiments on a rover navigation problem involving conditional-value-at-risk (CVaR) and entropic-value-at-risk (EVaR) coherent risk measures

Risk Aversion in Finite Markov Decision Processes Using Total Cost Criteria and Average Value at Risk

In this paper we present an algorithm to compute risk averse policies in Markov Decision Processes (MDP) when the total cost criterion is used together with the average value at risk (AVaR) metric. Risk averse policies are needed when large deviations from the expected behavior may have detrimental effects, and conventional MDP algorithms usually ignore this aspect. We provide conditions for the structure of the underlying MDP ensuring that approximations for the exact problem can be derived and solved efficiently. Our findings are novel inasmuch as average value at risk has not previously been considered in association with the total cost criterion. Our method is demonstrated in a rapid deployment scenario, whereby a robot is tasked with the objective of reaching a target location within a temporal deadline where increased speed is associated with increased probability of failure. We demonstrate that the proposed algorithm not only produces a risk averse policy reducing the probability of exceeding the expected temporal deadline, but also provides the statistical distribution of costs, thus offering a valuable analysis tool