# On the Fundamental Limitations of Dual Static CVaR Decompositions in Markov Decision Processes

arXiv: https://arxiv.org/abs/2507.14005 · HTML: https://mlsanity.com/paper/2507.14005/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- Builds on 9 of its 30 references that are in the map.
- First posted on arXiv 18 Jul 2025.

## Builds on (most cited first, 9 of 9)

- [Risk-Constrained Reinforcement Learning with Percentile Risk Criteria](https://mlsanity.com/paper/1512.01629/) (2015)
- [Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach](https://mlsanity.com/paper/1506.02188/) (2015)
- [Optimizing the CVaR via Sampling](https://mlsanity.com/paper/1404.3862/) (2014)
- [Algorithms for CVaR Optimization in MDPs](https://mlsanity.com/paper/1406.3339/) (2014)
- [Risk-Averse Bayes-Adaptive Reinforcement Learning](https://mlsanity.com/paper/2102.05762/) (2021)
- [On Dynamic Programming Decompositions of Static Risk Measures in Markov Decision Processes](https://mlsanity.com/paper/2304.12477/) (2023)
- [A Risk-Sensitive Finite-Time Reachability Approach for Safety of Stochastic Dynamic Systems](https://mlsanity.com/paper/1902.11277/) (2019)
- [Risk-sensitive safety analysis using Conditional Value-at-Risk](https://mlsanity.com/paper/2101.12086/) (2021)
- [Two steps to risk sensitivity](https://mlsanity.com/paper/2111.06803/) (2021)

## Built on by (most cited first, 1 of 1)

- [Reward Redistribution for CVaR MDPs using a Bellman Operator on L-infinity](https://mlsanity.com/paper/2602.03778/) (2026)

## Abstract (arXiv)

It was recently shown that dynamic programming (DP) methods for finding static CVaR-optimal policies in Markov Decision Processes (MDPs) can fail when based on the dual formulation, yet the root cause of this failure remains unclear. We expand on these findings by shifting focus from policy optimization to the seemingly simpler task of policy evaluation. We show that evaluating the static CVaR of a given policy can be framed as two distinct minimization problems. We introduce a set of ``risk-assignment consistency constraints'' that must be satisfied for their solutions to match and we demonstrate that an empty intersection of these constraints is the source of previously observed evaluation errors. Quantifying the evaluation error as the CVaR evaluation gap, we demonstrate that the issues observed when optimizing over the dual-based CVaR DP are explained by the returned policy having a non-zero CVaR evaluation gap. Finally, we leverage our proposed risk-assignment constraints perspective to prove that the search for a single, uniformly optimal policy on the dual CVaR decomposition is fundamentally limited, identifying an MDP where no single policy can be optimal across all initial risk levels.