Risk-sensitive control of Markov decision processes: a moment-based approach with target distributions

DOI10.1016/J.COR.2020.104997MaRDI QIDQ2664336zbMATH OpenOpenAlexFDO

Authors Rainer Schlosser

Publication date 20 April 2021

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2020.104997

zbMATH Keywords

dynamic pricingdynamic programmingheuristicsMarkov decision processrisk aversion

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Markov and semi-Markov decision processes (90C40) Decision theory (91B06)

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Cites work

• A review of choice-based revenue management: theory and methods
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• scientific article; zbMATH DE number 1734433 (Why is no real title available?)
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• Risk in Revenue Management and Dynamic Pricing
• Risk-averse dynamic programming for Markov decision processes
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• Risk-sensitive dynamic pricing for a single perishable product
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• Time-inconsistent multistage stochastic programs: martingale bounds

Cited in

(8)

• Determine targets with revenue maximisation and downside risk hedging considerations under the stochastic setting
• Risk-sensitive optimal control of hidden Markov models: structural results
• Mixed risk-neutral/minimax control of discrete-time, finite-state Markov decision processes
• Optimized ensemble value function approximation for dynamic programming
• Risk-averse dynamic pricing using mean-semivariance optimization
• Duality between large deviation control and risk-sensitive control for Markov decision processes
• Markov decision processes with risk-sensitive criteria: an overview
• Dynamic risk control in multidimensional Markov models

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