Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures

DOI10.1287/moor.2021.1187zbMath1501.90107arXiv2007.13103OpenAlexW3216631305MaRDI QIDQ5868933

Nicole Bäuerle, Alexander Glauner

Publication date: 26 September 2022

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

Full work available at URL: https://arxiv.org/abs/2007.13103

zbMATH Keywords

dynamic gamesminimax theoremrisk measuresrobust Markov decision process

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Markov and semi-Markov decision processes (90C40) Robustness in mathematical programming (90C17)

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