Risk-Sensitive Markov Decision Processes

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Necessary and sufficient conditions for a solution to the risk-sensitive Poisson equation on a finite state space
Dynamics of piecewise linear maps and sets of nonnegative matrices
Risk-sensitive dynamic pricing for a single perishable product
Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria
Asymptotic expansions for dynamic programming recursions with general nonnegative matrices
Multivariate constant risk posture
Optimization models for the first arrival target distribution function in discrete time
Risk sensitive control of Markov processes in countable state space
Risk-sensitive dynamic market share attraction games
Risk measurement and risk-averse control of partially observable discrete-time Markov systems
Variance-constrained actor-critic algorithms for discounted and average reward MDPs
Risk-sensitive multiagent decision-theoretic planning based on MDP and one-switch utility functions
Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains
Mean, variance and probabilistic criteria in finite Markov decision processes: A review
Stochastic optimization of forward recursive functions
Markov decision processes with average-value-at-risk criteria
Markov-achievable payoffs for finite-horizon decision models.
Expected utility maximization of optimal stopping problems
A discounted approach in communicating average Markov decision chains under risk-aversion
Efficient algorithms for risk-sensitive Markov decision processes with limited budget
Superquantiles at work: machine learning applications and efficient subgradient computation
Contractive approximations in risk-sensitive average semi-Markov decision chains on a finite state space
Risk-sensitive optimal stopping with unbounded terminal cost function
Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
Risk-averse policy optimization via risk-neutral policy optimization
Ergodic risk-sensitive control for regime-switching diffusions
Process-based risk measures and risk-averse control of discrete-time systems
A mean first passage time genome rearrangement distance
On risk-sensitive piecewise deterministic Markov decision processes
Discounted approximations in risk-sensitive average Markov cost chains with finite state space
Time-inconsistent risk-sensitive equilibrium for countable-stated Markov decision processes
Minimizing spectral risk measures applied to Markov decision processes
Markov decision processes with recursive risk measures
Exit time risk-sensitive control for systems of cooperative agents
Risk-sensitive average equilibria for discrete-time stochastic games
Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
Risk-sensitive finite-horizon piecewise deterministic Markov decision processes
The operator approach to entropy games
An active-set strategy to solve Markov decision processes with good-deal risk measure
Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity
Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains
Local Poisson equations associated with discrete-time Markov control processes
Discounted approximations to the risk-sensitive average cost in finite Markov chains
Zero-sum risk-sensitive stochastic games on a countable state space
Average optimality for risk-sensitive control with general state space
Risk-sensitive capacity control in revenue management
Discounted Markov decision processes with utility constraints
Time consistent dynamic risk measures
Totally expanding multiplicative systems
Risk-sensitive semi-Markov decision problems with discounted cost and general utilities
Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion
Stopped decision processes in conjunction with general utility
On dynamic decision making to meet consumption targets
Local Poisson equations associated with the Varadhan functional
A characterization of the optimal certainty equivalent of the average cost via the Arrow-Pratt sensitivity function
Risk-sensitive control of continuous time Markov chains
Computational methods for risk-averse undiscounted transient Markov models
An optimality system for finite average Markov decision chains under risk-aversion
Controlled semi-Markov chains with risk-sensitive average cost criterion
Constant risk aversion in stochastic contests with exponential completion times
Analyzing operational risk-reward trade-offs for start-ups
Risk management policies for dynamic capacity control
Optimal collision avoidance in swarms of active Brownian particles
Approximate Markov-Nash equilibria for discrete-time risk-sensitive mean-field games
scientific article; zbMATH DE number 5697113 (Why is no real title available?)
Growth rates and average optimality in risk-sensitive Markov decision chains
scientific article; zbMATH DE number 3711784 (Why is no real title available?)
scientific article; zbMATH DE number 3743043 (Why is no real title available?)
Sensitive Growth Analysis of Multiplicative Systems I: The Dynamic Approach
Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models
Dissipative stochastic differential systems with risk-sensitive storage function and control design problems
Risk-constrained reinforcement learning with percentile risk criteria
The vanishing discount approach in a class of zero-sum finite games with risk-sensitive average criterion
The study of basic risk processes by discrete-time non-homogeneous Markov processes
Optimal halting policies in Markov population decision chains with constant risk posture
Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates
Risk-averse learning by temporal difference methods with Markov risk measures
scientific article; zbMATH DE number 7373353 (Why is no real title available?)
Quantile Markov Decision Processes
Dynamic risked equilibrium
Risk-Sensitive Reinforcement Learning via Policy Gradient Search
A Poisson equation for the risk-sensitive average cost in semi-Markov chains
First Passage Exponential Optimality Problem for Semi-Markov Decision Processes
Variance-penalized Markov decision processes: dynamic programming and reinforcement learning techniques
Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
Nonzero-sum risk-sensitive stochastic games on a countable state space
Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
Continuous-time Markov decision processes with exponential utility
Risk-sensitive reinforcement learning
Ergodic risk-sensitive control of Markov processes on countable state space revisited
A cone property in the theory of risk-sensitive average criteria
Mean-Semivariance Policy Optimization via Risk-Averse Reinforcement Learning
Zero and non-zero sum risk-sensitive Semi-Markov games
Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes
On terminating Markov decision processes with a risk-averse objective function
Contractive approximations in average Markov decision chains driven by a risk-seeking controller
Average criteria in denumerable semi-Markov decision chains under risk-aversion
Optimizing a single-product production-inventory system under constant absolute risk aversion
Risk-averse optimization of reward-based coherent risk measures

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