Probabilistically distorted risk-sensitive infinite-horizon dynamic programming

DOI10.1016/j.automatica.2018.07.028zbMath1420.91074OpenAlexW2887536917MaRDI QIDQ1716491

Kun Lin, Cheng Jie, Steven I. Marcus

Publication date: 5 February 2019

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2018.07.028

zbMATH Keywords

dynamic programmingrisk measurescumulative prospect theory

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Dynamic programming (90C39)

Related Items (3)

Dynamic programming with value convexity ⋮ Risk-Sensitive Reinforcement Learning via Policy Gradient Search ⋮ Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis

Cites Work

• Risk-averse dynamic programming for Markov decision processes
• Advances in prospect theory: cumulative representation of uncertainty
• Coherent and convex monetary risk measures for bounded càdlàg processes
• Dynamic coherent risk measures
• Coherent Measures of Risk
• PORTFOLIO CHOICE VIA QUANTILES
• Prospect Theory
• Prospect Theory: An Analysis of Decision under Risk
• Risk-Averse Control of Undiscounted Transient Markov Models
• Conditional Risk Mappings
• On the Theory of Dynamic Programming
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