November 30, 2018
A Block Coordinate Ascent Algorithm for Mean-Variance Optimization
Neural Information Processing Systems (NeurIPS)
Risk management in dynamic decision problems is a primary concern in many fields, including financial investment, autonomous driving, and healthcare. The mean-variance function is one of the most widely used objective functions in risk management due to its simplicity and interpretability. Existing algorithms for mean-variance optimization are based on multi-time-scale stochastic approximation, whose learning rate schedules are often hard to tune, and have only asymptotic convergence proof. In this paper, we develop a model-free policy search framework for mean-variance optimization with finite-sample error bound analysis (to local optima).
By: Tengyang Xie, Bo Liu, Yangyang Xu, Mohammad Ghavamzadeh, Yinlam Chow, Daoming Lyu, Daesub Yoon