Markov decision processes with iterated coherent risk measures

DOI10.1080/00207179.2014.909947zbMATH Open1308.93222OpenAlexW2057476831MaRDI QIDQ2938604FDOQ2938604

Authors: Shanyun Chu, Yi Zhang 

Publication date: 14 January 2015

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2014.909947

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zbMATH Keywords

Markov decision processoptimality equationiterated coherent risk measure

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

Cites Work

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• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
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• The Iterated Cte
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• Markov control process with the expected total cost criterion: Optimality, stability, and transient models

Cited In (16)

• Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
• Uniform Fatou's lemma
• An active-set strategy to solve Markov decision processes with good-deal risk measure
• Fatou's lemma for weakly converging measures under the uniform integrability condition
• An average-value-at-risk criterion for Markov decision processes with unbounded costs
• Robust optimal control using conditional risk mappings in infinite horizon
• Markov decision processes under ambiguity
• Risk measurement and risk-averse control of partially observable discrete-time Markov systems
• Reinforcement learning with dynamic convex risk measures
• Risk-sensitive Markov decision under risk constraints with coherent risk measures
• Sequential Decision Making With Coherent Risk
• A note on a new class of recursive utilities in Markov decision processes
• A convex analytic approach to risk-aware Markov decision processes
• Markov decision processes with recursive risk measures
• Markov decision processes with risk-sensitive criteria: an overview
• Minimizing spectral risk measures applied to Markov decision processes

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