Neural-progressive hedging: Enforcing constraints in reinforcement learning with stochastic programming

• Main Authors: GHOSH, Supriyo, WYNTER, Laura, LIM, Shiau Hong, NGUYEN, Duc Thien
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Financial data processing; Financial markets; Risk assessment; Stochastic programming; Stochastic systems; Value engineering; Finance and Financial Management; Theory and Algorithms
• Online Access: https://ink.library.smu.edu.sg/sis_research/7760; https://ink.library.smu.edu.sg/context/sis_research/article/8763/viewcontent/ghosh22a.pdf
• Institution: Singapore Management University

We propose a framework, called neural-progressive hedging (NP), that leverages stochastic programming during the online phase of executing a reinforcement learning (RL) policy. The goal is to ensure feasibility with respect to constraints and risk-based objectives such as conditional value-at-risk (...