Markov decision processes with average-value-at-risk criteria

From MaRDI portal
Publication:1935914


DOI10.1007/s00186-011-0367-0zbMath1259.49035MaRDI QIDQ1935914

Jonathan Ott, Nicole Bäuerle

Publication date: 20 February 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000032887


91B06: Decision theory

90C40: Markov and semi-Markov decision processes

49K45: Optimality conditions for problems involving randomness


Related Items

Risk-Constrained Reinforcement Learning with Percentile Risk Criteria, Markov decision processes under ambiguity, Quantile Markov Decision Processes, Stochastic Control of Optimized Certainty Equivalents, A Convex Analytic Approach to Risk-Aware Markov Decision Processes, Optimal Control of Conditional Value-at-Risk in Continuous Time, Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures, Zero-sum stochastic games with the average-value-at-risk criterion, Risk-averse optimization of reward-based coherent risk measures, Controlled Markov decision processes with AVaR criteria for unbounded costs, Robust optimal control using conditional risk mappings in infinite horizon, Mean-variance problems for finite horizon semi-Markov decision processes, Optimal intervention in semi-Markov-based asynchronous probabilistic Boolean networks, Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control, Risk-averse policy optimization via risk-neutral policy optimization, Peril, prudence and planning as risk, avoidance and worry, On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration, Minimizing spectral risk measures applied to Markov decision processes, Markov decision processes with recursive risk measures, On tight bounds for function approximation error in risk-sensitive reinforcement learning, An average-value-at-risk criterion for Markov decision processes with unbounded costs, Markov decision processes with iterated coherent risk measures, Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time



Cites Work