Q-learning for distributionally robust Markov decision processes

DOI10.1007/978-3-030-76928-4_6MaRDI QIDQ5153603zbMATHOpenAlexFDO

Authors Nicole Bäuerle, Alexander Glauner

Publication date 30 September 2021

Published in Modern Trends in Controlled Stochastic Processes: (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-76928-4_6

zbMATH Keywords

Markov decision processrobust optimizationQ-learning

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

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Cites work

• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
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• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Ambiguity in asset pricing and portfolio choice: a review of the literature
• Distributionally robust Markov decision processes
• Markov decision processes with applications to finance.
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• Minimax Control of Discrete-Time Stochastic Systems
• Premiums and reserves, adjusted by distortions
• Quantitative risk management. Concepts, techniques and tools
• Robust Dynamic Programming
• Robust Markov Decision Processes
• Robust Markov control processes

Cited in

(6)

• Markov decision processes under model uncertainty
• Prospect-theoretic Q-learning
• Q-learning for Markov decision processes with a satisfiability criterion
• Robust \(Q\)-learning algorithm for Markov decision processes under Wasserstein uncertainty
• Speedy categorical distributional reinforcement learning and complexity analysis
• A dynamical neural network approach for distributionally robust chance-constrained Markov decision process

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