Optimizing the CVaR via Sampling

Conditional Value at Risk (CVaR) is a prominent risk measure that is being used extensively in various domains. We develop a new formula for the gradient of the CVaR in the form of a conditional expectation. Based on this formula, we propose a novel sampling-based estimator for the gradient of the CVaR, in the spirit of the likelihood-ratio method. We analyze the bias of the estimator, and prove the convergence of a corresponding stochastic gradient descent algorithm to a local CVaR optimum. Our method allows to consider CVaR optimization in new domains. As an example, we consider a reinforcement learning application, and learn a risksensitive controller for the game of Tetris.

Authors

• Aviv Tamar
• Yonatan Glassner
• Shie Mannor Technion - Israel Institute of Technology NVIDIA Research

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