Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Policy Gradients with Variance Related Risk Criteria   Managing risk in dynamic decision problems is of cardinal importance in many
fields such as finance and process control. The most common approach to
defining risk is through various variance related criteria such as the Sharpe
Ratio or the standard deviation adjusted reward. It is known that optimizing
many of the variance related risk criteria is NP-hard. In this paper we devise
a framework for local policy gradient style algorithms for reinforcement
learning for variance related criteria. Our starting point is a new formula for
the variance of the cost-to-go in episodic tasks. Using this formula we develop
policy gradient algorithms for criteria that involve both the expected cost and
the variance of the cost. We prove the convergence of these algorithms to local
minima and demonstrate their applicability in a portfolio planning problem.

8
The categories of this paper are: hep-ex
25
The categories of this paper are: patt-sol
26
The categories of this paper are: bayes-an
4
The categories of this paper are: cond-mat
27
The categories of this paper are: comp-gas
18
The categories of this paper are: econ
12
The categories of this paper are: nucl-th
6
The categories of this paper are: astro-ph
7
The categories of this paper are: hep-th
32
The categories of this paper are: atom-ph
33
The categories of this paper are: plasm-ph
5
The categories of this paper are: gr-qc
29
The categories of this paper are: funct-an
20
The categories of this paper are: acc-phys
35
The categories of this paper are: mtrl-th
9
The categories of this paper are: nlin