Risk-sensitive reinforcement learning: a martingale approach to reward uncertainty

Nelson Vadori, Sumitra Ganesh, Prashant P. Reddy, Manuela Veloso. Risk-sensitive reinforcement learning: a martingale approach to reward uncertainty. In Tucker Balch, editor, ICAIF '20: The First ACM International Conference on AI in Finance, New York, NY, USA, October 15-16, 2020. ACM, 2020. [doi]

Authors

Nelson Vadori

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Sumitra Ganesh

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Prashant P. Reddy

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Manuela Veloso

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