  In this work, we address risk-averse Bayes-adaptive reinforcement learning.
We pose the problem of optimising the conditional value at risk (CVaR) of the
total return in Bayes-adaptive Markov decision processes (MDPs). We show that a
policy optimising CVaR in this setting is risk-averse to both the parametric
uncertainty due to the prior distribution over MDPs, and the internal
uncertainty due to the inherent stochasticity of MDPs. We reformulate the
problem as a two-player stochastic game and propose an approximate algorithm
based on Monte Carlo tree search and Bayesian optimisation. Our experiments
demonstrate that our approach significantly outperforms baseline approaches for
this problem.
