On the Global Convergence of Risk-Averse Policy Gradient Methods with Dynamic Time-Consistent Risk Measures

Risk-sensitive reinforcement learning (RL) has become a popular tool to control the risk of uncertain outcomes and ensure reliable performance in various sequential decision-making problems. While policy gradient methods have been developed for risk-sensitive RL, it remains unclear if these methods enjoy the same global convergence guarantees as in the risk-neutral case. In this paper, we consider a class of dynamic time-consistent risk measures, called Expected Conditional Risk Measures (ECRMs), and derive policy gradient updates for ECRM-based objective functions. Under both constrained direct parameterization and unconstrained softmax parameterization, we provide global convergence of the corresponding risk-averse policy gradient algorithms. We further test a risk-averse variant of REINFORCE algorithm on a stochastic Cliffwalk environment to demonstrate the efficacy of our algorithm and the importance of risk control.

@article{yu2025_2301.10932,
  title={ On the Global Convergence of Risk-Averse Policy Gradient Methods with Expected Conditional Risk Measures },
  author={ Xian Yu and Lei Ying },
  journal={arXiv preprint arXiv:2301.10932},
  year={ 2025 }
}