Markov decision processes with recursive risk measures
From MaRDI portal
Publication:2242350
DOI10.1016/j.ejor.2021.04.030zbMath1490.90301arXiv2010.07220OpenAlexW3092690983MaRDI QIDQ2242350
Alexander Glauner, Nicole Bäuerle
Publication date: 9 November 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.07220
Statistical methods; risk measures (91G70) Dynamic programming (90C39) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Risk models (general) (91B05)
Related Items (5)
An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems ⋮ Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning ⋮ Reinforcement learning with dynamic convex risk measures ⋮ A hybrid repair-replacement policy in the proportional hazards model ⋮ Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic finance. An introduction in discrete time.
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Risk-averse dynamic programming for Markov decision processes
- Markov decision processes with applications to finance.
- Time consistent dynamic risk processes
- Recursive multiple-priors.
- Optimal dividend payout model with risk sensitive preferences
- Stochastic optimal growth model with risk sensitive preferences
- Time-consistent, risk-averse dynamic pricing
- Optimal risk allocation in reinsurance networks
- Markov decision processes with average-value-at-risk criteria
- Remarks on quantiles and distortion risk measures
- Erratum to ``Risk-averse dynamic programming for Markov decision processes
- Risk neutral and risk averse stochastic dual dynamic programming method
- Dynamic coherent risk measures
- Conditional and dynamic convex risk measures
- The natural Banach space for version independent risk measures
- Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
- Partially observable multistage stochastic programming
- Risk-Sensitive Markov Control Processes
- Mathematical Risk Analysis
- Markov decision processes with iterated coherent risk measures
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- A note on a new class of recursive utilities in Markov decision processes
- Discounted linear exponential quadratic Gaussian control
- On Solving Multistage Stochastic Programs with Coherent Risk Measures
- Dynamic Risk Measures
- A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Risk-Sensitive Markov Decision Processes
This page was built for publication: Markov decision processes with recursive risk measures
