A Tighter Problem-Dependent Regret Bound for Risk-Sensitive Reinforcement Learning

Xiaoyan Hu, Ho-fung Leung

Abstract: We study the regret for risk-sensitive reinforcement learning (RL) with the exponential utility in the episodic MDP. Recent works establish both a lower bound $\Omega((e^{|\beta|(H-1)/2}-1)\sqrt{SA...