Beyond Expected Values: Risk-Sensitive Planning with Distributional Monte-Carlo Tree Search

Monte-Carlo Tree Search (MCTS) typically stores only scalar mean estimates, which makes it poorly suited for tail-risk objectives such as conditional value-at-risk (CVaR). We introduce **Categorical Thompson Sampling with Optimism (CATSO)** and **Particle Thompson Sampling with Optimism (PATSO)**, two distributional MCTS algorithms that maintain finite-support empirical backup laws at Q-edges. CATSO represents Q-edge laws with categorical atoms and Dirichlet Thompson sampling, while PATSO represents them with adaptive particles. Both algorithms select actions using the CVaR of a Thompson-sampled Q-edge law plus a polynomial optimism bonus, and propagate scalar continuation values through visit-weighted averages of child Q-edge CVaR scores. For the finite-depth nested CVaR planning target, we prove an $O(n^{-1/2})$ bound on the root value error after $n$ rollouts, which upper-bounds the risk-sensitive simple regret. CATSO adds a fixed-grid discretization bias, while capped PATSO adds a tunable Wasserstein compression bias. Experiments on stochastic planning benchmarks show that distributional Q-edges improve lower-tail return and reduce catastrophic outcomes when mean-optimal and risk-sensitive behavior differ.