Q-learning for distributionally robust Markov decision processes

DOI10.1007/978-3-030-76928-4_6MaRDI QIDQ5153603zbMATH OpenOpenAlexFDO

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 processQ-learningrobust optimization

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Recommendations

• Distributionally robust Markov decision processes
• Distributionally robust optimization for sequential decision-making
• Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures
• Reinforcement learning in robust Markov decision processes
• Distributionally robust partially observable Markov decision process with moment-based ambiguity

Cites work

• 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
• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 1325008 (Why is no real title available?)
• scientific article; zbMATH DE number 1321699 (Why is no real title available?)
• scientific article; zbMATH DE number 1965513 (Why is no real title available?)
• scientific article; zbMATH DE number 3320878 (Why is no real title available?)
• 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 control processes
• Robust Markov Decision Processes

Cited in

(8)

• Q-learning for Markov decision processes with a satisfiability criterion
• Prospect-theoretic Q-learning
• Speedy categorical distributional reinforcement learning and complexity analysis
• Markov decision processes under model uncertainty
• A dynamical neural network approach for distributionally robust chance-constrained Markov decision process
• Robust Q-learning algorithm for Markov decision processes under Wasserstein uncertainty
• Nonconcave stochastic optimal control in finite discrete time under model uncertainty
• Bounding the difference between the values of robust and non-robust Markov decision problems

This page was built for publication: Q-learning for distributionally robust Markov decision processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5153603)