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Jan-Peter Calliess

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#machine learning Preprint Jan 2026

Cantelli Constrained Policy Optimization

Canon, a risk-averse method designed to optimize Value-at-Risk (VaR) constrained reinforcement learning (RL) problems, is introduced and Cantelli's inequality is employed to obtain a tractable, conservative and smooth bound on the VaR constraint based on the first two moments of the cost return.

Rohan Tangri, Jan-Peter Calliess · 0 citations