Motivated by many application problems, we consider Markov decision processes (MDPs) with a general loss function and unknown parameters. To mitigate the epistemic uncertainty associated with unknown parameters, we take a Bayesian approach to estimate the parameters from data and impose a coherent risk functional (with respect to the Bayesian posterior distribution) on the loss. Since this formulation usually does not satisfy the interchangeability principle, it does not admit Bellman equations and cannot be solved by approaches based on dynamic programming. Therefore, We propose a policy gradient optimization method, leveraging the dual representation of coherent risk measures and extending the envelope theorem to continuous cases. We then show the stationary analysis of the algorithm with a convergence rate of O (T^-1/2+r^-1/2), where T is the number of policy gradient iterations and r is the sample size of the gradient estimator. We further extend our algorithm to an episodic setting, and establish the global convergence of the extended algorithm and provide bounds on the number of iterations needed to achieve an error bound O (ε) in each episode.
Wang et al. (Fri,) studied this question.