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Reward Redistribution for CVaR MDPs using a Bellman Operator on L-infinity

arXiv 2602.03778 ↗First posted 3 Feb 2026cs.LG cs.AIcited by 0

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Abstract (arXiv)

Tail-end risk measures such as static conditional value-at-risk (CVaR) are used in safety-critical applications to prevent rare, yet catastrophic events. Unlike risk-neutral objectives, the static CVaR of the return depends on entire trajectories without admitting a recursive Bellman decomposition in the underlying Markov decision process. A classical resolution relies on state augmentation with a continuous variable. However, unless restricted to a specialized class of admissible value functions, this formulation induces sparse rewards and degenerate fixed points. In this work, we propose a novel formulation of the static CVaR objective based on augmentation. Our alternative approach leads to a Bellman operator with: (1) dense per-step rewards; (2) contracting properties on the full space of bounded value functions. Building on this theoretical foundation, we develop risk-averse value iteration and model-free Q-learning algorithms that rely on discretized augmented states. We further provide convergence guarantees and approximation error bounds due to discretization. Empirical results demonstrate that our algorithms successfully learn CVaR-sensitive policies and achieve effective performance-safety trade-offs.

Key facts. No citing papers in the map yet (data through 7 Oct 2026). Builds on 26 of its 47 references that are in the map. First posted on arXiv 3 Feb 2026.

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References · 26

  1. 2017Hindsight Experience Replaycited by 1,096
  2. 2017Distributional Reinforcement Learning with Quantile Regressioncited by 464
  3. 2018Implicit Quantile Networks for Distributional Reinforcement Learningcited by 362
  4. 2015Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approachcited by 162
  5. 2014Optimizing the CVaR via Samplingcited by 98
  6. 2015Policy Gradient for Coherent Risk Measurescited by 74
  7. 2019Being Optimistic to Be Conservative: Quickly Learning a CVaR Policycited by 63
  8. 2020Rewriting History with Inverse RL: Hindsight Inference for Policy Improvementcited by 59
  9. 2017How Should a Robot Assess Risk? Towards an Axiomatic Theory of Risk in Roboticscited by 57
  10. 2023A Survey of Temporal Credit Assignment in Deep Reinforcement Learningcited by 56
  11. 2019Worst Cases Policy Gradientscited by 52
  12. 2022Efficient Risk-Averse Reinforcement Learningcited by 41
14 more
  1. 2023Near-Minimax-Optimal Risk-Sensitive Reinforcement Learning with CVaRcited by 32
  2. 2019Quantile QT-Opt for Risk-Aware Vision-Based Robotic Graspingcited by 27
  3. 2022Regret Bounds for Risk-Sensitive Reinforcement Learningcited by 26
  4. 2021Reinforcement Learning with Dynamic Convex Risk Measurescited by 20
  5. 2023On Dynamic Programming Decompositions of Static Risk Measures in Markov Decision Processescited by 17
  6. 2024A Reductions Approach to Risk-Sensitive Reinforcement Learning with Optimized Certainty Equivalentscited by 15
  7. 2021Risk-averse autonomous systems: A brief history and recent developments from the perspective of optimal controlcited by 12
  8. 2023Learning Risk-Aware Quadrupedal Locomotion using Distributional Reinforcement Learningcited by 12
  9. 2025Optimizing Return Distributions with Distributional Dynamic Programmingcited by 9
  10. 2024Q-learning for Quantile MDPs: A Decomposition, Performance, and Convergence Analysiscited by 6
  11. 2025Beyond CVaR: Leveraging Static Spectral Risk Measures for Enhanced Decision-Making in Distributional Reinforcement Learningcited by 6
  12. 2025Return Capping: Sample-Efficient CVaR Policy Gradient Optimisationcited by 5
  13. 2025Yet Another Distributional Bellman Equationcited by 1
  14. 2025On the Fundamental Limitations of Dual Static CVaR Decompositions in Markov Decision Processescited by 1

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