Rectangular Sets of Probability Measures

DOI10.1287/opre.2015.1466zbMath1342.90118OpenAlexW2276122543WikidataQ97714343 ScholiaQ97714343MaRDI QIDQ5740228

Alexander Shapiro

Publication date: 25 July 2016

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9fc3829f47e222c3d0ef50a5d370c0e38a185658

zbMATH Keywords

dynamic programmingcoherent risk measurestime consistencyrectangularityrisk-averse optimizationmultistage stochastic optimizationrobust optimal control and Markov decision processes

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40)

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Cites Work

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• Risk-averse dynamic programming for Markov decision processes
• Recursive multiple-priors.
• Minimax and risk averse multistage stochastic programming
• Time consistency of dynamic risk measures
• Minimal representation of insurance prices
• Coherent Measures of Risk
• Tight Approximations of Dynamic Risk Measures
• Robust Markov Decision Processes
• Robust Control of Markov Decision Processes with Uncertain Transition Matrices
• Conditional Risk Mappings
• Robust Dynamic Programming

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