Optimizing sequential decision-making under risk: strategic allocation with switching penalties

DOI10.1016/J.EJOR.2024.09.023MaRDI QIDQ6982434zbMATH OpenFDO

Authors Milad Malekipirbazari

Publication date 19 May 2025

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2024.09.023

zbMATH Keywords

dynamic coherent risk measuresmultiarmed bandit problemrisk-averse decision-makingstochastic programmingswitching penalties

Mathematics Subject Classification ID

Stochastic programming (90C15) Decision theory (91B06) Statistical methods; risk measures (91G70)

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Cited in

(1)

• Solving Markov decision processes via state space decomposition and time aggregation

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