A Convex Analytic Approach to Risk-Aware Markov Decision Processes
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Publication:5258943
DOI10.1137/140969221zbMath1328.90156OpenAlexW1587828677MaRDI QIDQ5258943
William B. Haskell, Rahul Jain
Publication date: 24 June 2015
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/e9f8323939fa5e165ea22b5db4c6be32b34453e4
stochastic optimizationMarkov decision processesrisk measuresconditional value-at-riskstochastic dominance constraintsconvex analytic approach
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Related Items (9)
Optimal Control of Conditional Value-at-Risk in Continuous Time ⋮ Optimization with Reference-Based Robust Preference Constraints ⋮ Primal-Dual Algorithms for Optimization with Stochastic Dominance ⋮ A dynamic analytic method for risk-aware controlled martingale problems ⋮ Continuous-Time Markov Decision Processes with Exponential Utility ⋮ Approximate solutions to constrained risk-sensitive Markov decision processes ⋮ Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria ⋮ Robust MDPs with k-Rectangular Uncertainty ⋮ Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
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