On the Sample Complexity of Discounted Reinforcement Learning with Optimized Certainty Equivalents

arXiv:2605.21763v1 Announce Type: new Abstract: We study risk-sensitive reinforcement learning in finite discounted MDPs, where a generative model of the MDP is assumed to be available. We consider a family or risk measures called the optimized certainty equivalent (OCE), which includes important risk measures such as entropic risk, CVaR, and mean-variance. Our focus is on the sample complexities of learning the optimal state-action value function (value learning) and an optimal policy (policy learning) under recursive OCE. We provide an exact characterization of utility functions $u$ for whic

Source: arXiv cs.LG — read the full report at the original publisher.

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