An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems

DOI10.1137/22M1530665MaRDI QIDQ6140989zbMATH OpenOpenAlexFDO

Authors Andrzej Ruszczyński

Publication date 2 January 2024

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2311.06645

zbMATH Keywords

dynamic programmingWasserstein distancedynamic risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20) Risk models (general) (91B05)

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