Tractable Objectives for Robust Policy Optimization

Robust policy optimization acknowledges that risk-aversion plays a vital role in real-world decision-making. When faced with uncertainty about the effects of actions, the policy that maximizes expected utility over the unknown parameters of the system may also carry with it a risk of intolerably poor performance. One might prefer to accept lower utility in expectation in order to avoid, or reduce the likelihood of, unacceptable levels of utility under harmful parameter realizations. In this paper, we take a Bayesian approach to parameter uncertainty, but unlike other methods avoid making any distributional assumptions about the form of this uncertainty. Instead we focus on identifying optimization objectives for which solutions can be efficiently approximated.