# Wall Street Tree Search: Risk-Aware Planning for Offline Reinforcement Learning

arXiv: https://arxiv.org/abs/2211.04583 · HTML: https://mlsanity.com/paper/2211.04583/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Placed in Offline RL algorithms, one of 13 directions in Offline RL and imitation learning from data.
- Builds on 26 of its 45 references that are in the map.
- First posted on arXiv 6 Nov 2022.

## Placed in

- Offline RL and imitation learning from data / [Offline RL algorithms](https://mlsanity.com/offlinerl/offline-rl-algorithms/)

## Builds on (most cited first, 26 of 26)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [BERT: Pre-training of Deep Bidirectional Transformers for Language Understanding](https://mlsanity.com/paper/1810.04805/) (2018)
- [Language Models are Few-Shot Learners](https://mlsanity.com/paper/2005.14165/) (2020)
- [On Calibration of Modern Neural Networks](https://mlsanity.com/paper/1706.04599/) (2017)
- [Neural Machine Translation by Jointly Learning to Align and Translate](https://mlsanity.com/paper/1409.0473/) (2014)
- [Offline Reinforcement Learning: Tutorial, Review, and Perspectives on Open Problems](https://mlsanity.com/paper/2005.01643/) (2020)
- [Conservative Q-Learning for Offline Reinforcement Learning](https://mlsanity.com/paper/2006.04779/) (2020)
- [Decision Transformer: Reinforcement Learning via Sequence Modeling](https://mlsanity.com/paper/2106.01345/) (2021)
- [D4RL: Datasets for Deep Data-Driven Reinforcement Learning](https://mlsanity.com/paper/2004.07219/) (2020)
- [Offline Reinforcement Learning with Implicit Q-Learning](https://mlsanity.com/paper/2110.06169/) (2021)
- [Off-Policy Deep Reinforcement Learning without Exploration](https://mlsanity.com/paper/1812.02900/) (2018)
- [Hierarchical Neural Story Generation](https://mlsanity.com/paper/1805.04833/) (2018)
- [Stabilizing Off-Policy Q-Learning via Bootstrapping Error Reduction](https://mlsanity.com/paper/1906.00949/) (2019)
- [Deep Reinforcement Learning at the Edge of the Statistical Precipice](https://mlsanity.com/paper/2108.13264/) (2021)
- [Advantage-Weighted Regression: Simple and Scalable Off-Policy Reinforcement Learning](https://mlsanity.com/paper/1910.00177/) (2019)
- [Behavior Regularized Offline Reinforcement Learning](https://mlsanity.com/paper/1911.11361/) (2019)
- [Offline Reinforcement Learning as One Big Sequence Modeling Problem](https://mlsanity.com/paper/2106.02039/) (2021)
- [MOPO: Model-based Offline Policy Optimization](https://mlsanity.com/paper/2005.13239/) (2020)
- [MOReL : Model-Based Offline Reinforcement Learning](https://mlsanity.com/paper/2005.05951/) (2020)
- [Calibration of Pre-trained Transformers](https://mlsanity.com/paper/2003.07892/) (2020)
- [Way Off-Policy Batch Deep Reinforcement Learning of Implicit Human Preferences in Dialog](https://mlsanity.com/paper/1907.00456/) (2019)
- [Deep Reinforcement Learning framework for Autonomous Driving](https://mlsanity.com/paper/1704.02532/) (2017)
- [Model-Based Offline Planning](https://mlsanity.com/paper/2008.05556/) (2020)
- [If beam search is the answer, what was the question?](https://mlsanity.com/paper/2010.02650/) (2020)
- [Supervised Reinforcement Learning with Recurrent Neural Network for Dynamic Treatment Recommendation](https://mlsanity.com/paper/1807.01473/) (2018)
- [Evaluating Reinforcement Learning Algorithms in Observational Health Settings](https://mlsanity.com/paper/1805.12298/) (2018)

## Abstract (arXiv)

Offline reinforcement-learning (RL) algorithms learn to make decisions using a given, fixed training dataset without online data collection. This problem setting is captivating because it holds the promise of utilizing previously collected datasets without any costly or risky interaction with the environment. However, this promise also bears the drawback of this setting as the restricted dataset induces uncertainty because the agent can encounter unfamiliar sequences of states and actions that the training data did not cover. To mitigate the destructive uncertainty effects, we need to balance the aspiration to take reward-maximizing actions with the incurred risk due to incorrect ones. In financial economics, modern portfolio theory (MPT) is a method that risk-averse investors can use to construct diversified portfolios that maximize their returns without unacceptable levels of risk. We propose integrating MPT into the agent's decision-making process, presenting a new simple-yet-highly-effective risk-aware planning algorithm for offline RL. Our algorithm allows us to systematically account for the estimated quality of specific actions and their estimated risk due to the uncertainty. We show that our approach can be coupled with the Transformer architecture to yield a state-of-the-art planner, which maximizes the return for offline RL tasks. Moreover, our algorithm reduces the variance of the results significantly compared to conventional Transformer decoding, which results in a much more stable algorithm -- a property that is essential for the offline RL setting, where real-world exploration and failures can be costly or dangerous.