An active-set strategy to solve Markov decision processes with good-deal risk measure

DOI10.1007/s11590-019-01413-0zbMath1428.90174OpenAlexW2918147198MaRDI QIDQ2329646

Boris Defourny, Shu Tu

Publication date: 18 October 2019

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-019-01413-0

zbMATH Keywords

second-order coneactive-setdistributionally robust Markov decision processgood-deal risk measure

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Uses Software

• ECOS

Cites Work

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