Contractivity of Bellman operator in risk averse dynamic programming with infinite horizon

DOI10.1016/J.ORL.2023.01.008zbMath1525.90428arXiv2208.01990OpenAlexW4316038436MaRDI QIDQ6161899

Martin Šmíd, Miloš Kopa

Publication date: 28 June 2023

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.01990

zbMATH Keywords

infinite horizondynamic programmingrisk aversion

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)

Cites Work

• Unnamed Item
• Unnamed Item
• Risk-averse dynamic programming for Markov decision processes
• On the dual representation of coherent risk measures

This page was built for publication: Contractivity of Bellman operator in risk averse dynamic programming with infinite horizon