Two steps to risk sensitivity
Chris Gagne, Peter Dayan
Abstract
Distributional reinforcement learning (RL) -- in which agents learn about all the possible long-term consequences of their actions, and not just the expected value -- is of great recent interest. One of the most important affordances of a distributional view is facilitating a modern, measured, approach to risk when outcomes are not completely certain. By contrast, psychological and neuroscientific investigations into decision making under risk have utilized a variety of more venerable theoretical models such as prospect theory that lack axiomatically desirable properties such as coherence. Here, we consider a particularly relevant risk measure for modeling human and animal planning, called conditional value-at-risk (CVaR), which quantifies worst-case outcomes (e.g., vehicle accidents or predation). We first adopt a conventional distributional approach to CVaR in a sequential setting and reanalyze the choices of human decision-makers in the well-known two-step task, revealing substantial risk aversion that had been lurking under stickiness and perseveration. We then consider a further critical property of risk sensitivity, namely time consistency, showing alternatives to this form of CVaR that enjoy this desirable characteristic. We use simulations to examine settings in which the various forms differ in ways that have implications for human and animal planning and behavior.
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Cited by top-tier papers2
- One Risk to Rule Them All: A Risk-Sensitive Perspective on Model-Based Offline Reinforcement LearningMarc Rigter, Bruno Lacerda, Nick HawesNeurIPS 2023 · 26 citations
- A Simple Yet Effective Strategy to Robustify the Meta Learning ParadigmQi Wang, Yiqin Lv, Yang-He Feng, Zheng Xie et al.NeurIPS 2023 · 17 citations
Builds on3
- Being Optimistic to Be Conservative: Quickly Learning a CVaR PolicyRamtin Keramati, Christoph Dann, Alex Tamkin, Emma BrunskillAAAI 2020 · 86 citations
- Risk-Averse Offline Reinforcement LearningNúria Armengol Urpí, Sebastian Curi, Andreas KrauseICLR 2021 · 81 citations
- Risk-Averse Bayes-Adaptive Reinforcement LearningMarc Rigter, Bruno Lacerda, Nick HawesNeurIPS 2021 · 50 citations
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