Stochastic Approximation for Risk-Aware Markov Decision Processes

DOI10.1109/TAC.2020.2989702MaRDI QIDQ4990181zbMATH OpenFDO

Authors Wenjie Huang, William B. Haskell

Publication date 28 May 2021

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

Full work available at URL https://arxiv.org/abs/1805.04238

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Cited in

(8)

• Randomized smoothing variance reduction method for large-scale non-smooth convex optimization
• Partially Observable Risk-Sensitive Markov Decision Processes
• Risk-averse dynamic programming for Markov decision processes
• Reinforcement learning for control with probabilistic stability guarantee: a finite-sample approach
• Stochastic Approximation for Risk-aware Markov Decision Processes
• Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
• Error analysis for approximate CVaR-optimal control with a maximum cost
• Robbins-Monro algorithm with \(\psi\)-mixing random errors

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