Risk-Constrained Markov Decision Processes

DOI10.1109/TAC.2014.2309262MaRDI QIDQ2983056zbMATH OpenOpenAlexFDO

Authors Vivek Borkar, Rahul Jain

Publication date 16 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2014.2309262

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stochastic approximation (62L20) Markov and semi-Markov decision processes (90C40)

Cited in

(12)

• Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
• On risk-sensitive piecewise deterministic Markov decision processes
• Risk-constrained reinforcement learning with percentile risk criteria
• Partially Observable Risk-Sensitive Markov Decision Processes
• A convex analytic approach to risk-aware Markov decision processes
• Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures
• Risk-averse dynamic programming for Markov decision processes
• Markov decision processes with burstiness constraints
• Approximate solutions to constrained risk-sensitive Markov decision processes
• Reinforcement learning
• Risk-constrained linear quadratic control with one-step delayed sharing information pattern
• Ergodic-risk criterion for stochastically stabilizing policy optimization

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