An average-value-at-risk criterion for Markov decision processes with unbounded costs

DOI10.1007/s11464-021-0944-3OpenAlexW3196810040MaRDI QIDQ2689710

Junyu Zhang, Qiuli Liu, Wai-Ki Ching, Hongchu Wang

Publication date: 14 March 2023

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-021-0944-3

zbMATH Keywords

Markov decision processesoptimal policystate-action dependent discount factorsaverage-value-at-risk (AVaR)

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

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