Robust optimal control using conditional risk mappings in infinite horizon
From MaRDI portal
Abstract: We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegative one step costs are assumed to be lower semi-continuous but not necessarily bounded. We derive the conditions for the existence of the optimal strategies and solve the problem explicitly by giving the robust dynamic programming equations under very mild conditions. We further give an -optimal approximation to the solution and illustrate our algorithm in two examples of optimal investment and LQ regulator problems.
Recommendations
- Risk-Sensitive Control on an Infinite Time Horizon
- scientific article; zbMATH DE number 2134081
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- Risk-sensitive control of an ergodic diffusion over an infinite horizon
- Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
- scientific article; zbMATH DE number 48691
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
Cites work
- Actuarial risk measures for financial derivative pricing
- Adaptive Markov control processes
- Coherent measures of risk
- Computational methods for risk-averse undiscounted transient Markov models
- Conditional Risk Mappings
- Convex Analysis in Decentralized Stochastic Control, Strategic Measures, and Optimal Solutions
- Convex measures of risk and trading constraints
- Dynamic coherent risk measures
- Dynamics of Bose-Einstein condensates with atomic pumping and dissipative processes
- Error bounds for rolling horizon policies in discrete-time Markov control processes
- Extending pricing rules with general risk functions
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- Markov decision processes with average-value-at-risk criteria
- Markov decision processes with iterated coherent risk measures
- Mean-variance portfolio optimization with state-dependent risk aversion
- Measurable selection theorems for optimization problems
- Minimizing CVaR in global dynamic hedging with transaction costs
- Modeling, measuring and managing risk
- Nonstationary discrete-time deterministic and stochastic control systems with infinite horizon
- On a time consistency concept in risk averse multistage stochastic programming
- On the asymptotic optimality of finite approximations to Markov decision processes with Borel spaces
- On the Theory of Dynamic Programming
- On time-inconsistent stochastic control in continuous time
- Optimal long term growth rate of expected utility of wealth
- Optimization of Convex Risk Functions
- Rectangular sets of probability measures
- Risk-averse control of undiscounted transient Markov models
- Risk-averse dynamic programming for Markov decision processes
- Risk-sensitive control and an optimal investment model.
- Risk-sensitive Markov control processes
- Stochastic finance. An introduction in discrete time.
- Variational Analysis
- Weakly time consistent concave valuations and their dual representations
Cited in
(7)- Stochastic revision opportunities in Markov decision problems
- Discrete-time risk-aware optimal switching with non-adapted costs
- Markov decision processes under model uncertainty
- Markov decision processes with risk-sensitive criteria: an overview
- 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: Robust optimal control using conditional risk mappings in infinite horizon
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q724507)
