Markov decision processes under ambiguity
From MaRDI portal
Abstract: We consider statistical Markov Decision Processes where the decision maker is risk averse against model ambiguity. The latter is given by an unknown parameter which influences the transition law and the cost functions. Risk aversion is either measured by the entropic risk measure or by the Average Value at Risk. We show how to solve these kind of problems using a general minimax theorem. Under some continuity and compactness assumptions we prove the existence of an optimal (deterministic) policy and discuss its computation. We illustrate our results using an example from statistical decision theory.
Recommendations
Cites work
- A Smooth Model of Decision Making under Ambiguity
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- scientific article; zbMATH DE number 3320878 (Why is no real title available?)
- scientific article; zbMATH DE number 3357742 (Why is no real title available?)
- scientific article; zbMATH DE number 3103174 (Why is no real title available?)
- Markov decision processes with applications to finance.
- Markov decision processes with average-value-at-risk criteria
- Maxmin expected utility with non-unique prior
- On dynamic programming and statistical decision theory
- On dynamic programming: Compactness of the space of policies
- On general minimax theorems
- Partially Observable Risk-Sensitive Markov Decision Processes
- Random coding strategies for minimum entropy
- Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
- Robust Dynamic Programming
- Stochastic finance. An introduction in discrete time
Cited in
(14)- Generalizing Markov decision processes to imprecise probabilities
- Ambiguous partially observable Markov decision processes: structural results and applications
- On modeling risk in Markov decision processes.
- Markov decision processes with iterated coherent risk measures
- scientific article; zbMATH DE number 3900544 (Why is no real title available?)
- Markov Decision Processes with Imprecise Transition Probabilities
- Probabilistic opacity for Markov decision processes
- Robust Markov Decision Processes with Data-Driven, Distance-Based Ambiguity Sets
- Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures
- Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
- Markov decision processes under model uncertainty
- Optimal investment in ambiguous financial markets with learning
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Terminal wealth maximization under drift uncertainty
This page was built for publication: Markov decision processes under ambiguity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4989141)
