Forward-PECVaR Algorithm: Exact Evaluation for CVaR SSPs
This work addresses a specific limitation in risk-aware sequential decision-making for researchers, providing an exact evaluation tool for policies in CVaR-SSPs, but it is incremental as it builds on existing approximate methods.
The paper tackles the problem of exactly evaluating stationary policies for Conditional Value at Risk (CVaR) in Stochastic Shortest Path (SSP) problems with non-uniform costs, proposing the Forward-PECVaR algorithm, and empirically shows that using a smaller minimum α and adequate atoms improves approximation quality in two domains.
The Stochastic Shortest Path (SSP) problem models probabilistic sequential-decision problems where an agent must pursue a goal while minimizing a cost function. Because of the probabilistic dynamics, it is desired to have a cost function that considers risk. Conditional Value at Risk (CVaR) is a criterion that allows modeling an arbitrary level of risk by considering the expectation of a fraction $α$ of worse trajectories. Although an optimal policy is non-Markovian, solutions of CVaR-SSP can be found approximately with Value Iteration based algorithms such as CVaR Value Iteration with Linear Interpolation (CVaRVIQ) and CVaR Value Iteration via Quantile Representation (CVaRVILI). These type of solutions depends on the algorithm's parameters such as the number of atoms and $α_0$ (the minimum $α$). To compare the policies returned by these algorithms, we need a way to exactly evaluate stationary policies of CVaR-SSPs. Although there is an algorithm that evaluates these policies, this only works on problems with uniform costs. In this paper, we propose a new algorithm, Forward-PECVaR (ForPECVaR), that evaluates exactly stationary policies of CVaR-SSPs with non-uniform costs. We evaluate empirically CVaR Value Iteration algorithms that found solutions approximately regarding their quality compared with the exact solution, and the influence of the algorithm parameters in the quality and scalability of the solutions. Experiments in two domains show that it is important to use an $α_0$ smaller than the $α$ target and an adequate number of atoms to obtain a good approximation.