Markov decision processes with risk-sensitive criteria: an overview

Cites Work

More Risk-Sensitive Markov Decision Processes
Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains
Risk-Averse Control of Undiscounted Transient Markov Models
Precautionary Savings and the Permanent Income Hypothesis
Risk Aversion in the Small and in the Large
Sequential Decision Making With Coherent Risk
Risk-Sensitive and Risk-Neutral Multiarmed Bandits
AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs
Nonstationary value iteration in controlled Markov chains with risk-sensitive average criterion
Risk-Sensitive Markov Decision Processes
Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
Q-Learning for Risk-Sensitive Control
The Value Iteration Algorithm in Risk-Sensitive Average Markov Decision Chains with Finite State Space
A Variational Formula for Risk-Sensitive Reward
Exposition of a New Theory on the Measurement of Risk
Ergodic risk-sensitive control of Markov processes on countable state space revisited
Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures
Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes
A sensitivity formula for risk-sensitive cost and the actor-critic algorithm
Reinforcement Learning and Stochastic Optimization
On Optimizing the Conditional Value-at-Risk of a Maximum Cost for Risk-Averse Safety Analysis
Certainty equivalent control of discrete time Markov processes with the average reward functional
Markov decision processes under risk sensitivity: a discount vanishing approach
Recent advances in reinforcement learning in finance
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
Reinforcement learning with dynamic convex risk measures
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Time-inconsistent multistage stochastic programs: martingale bounds
Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
Robust Markov control processes
Evaluating policies in risk-averse multi-stage stochastic programming
Risk-sensitive control and an abstract Collatz-Wielandt formula
Controlled Markov decision processes with AVaR criteria for unbounded costs
Risk-averse dynamic programming for Markov decision processes
Markov decision processes with applications to finance.
Robust optimal control using conditional risk mappings in infinite horizon
Risk-sensitive dividend problems
The dynamics of risk-sensitive allocations
Coherent risk measures in inventory problems
A note on negative dynamic programming for risk-sensitive control
The discounted method and equivalence of average criteria for risk-sensitive Markov decision processes on Borel spaces
Necessary and sufficient conditions for a solution to the risk-sensitive Poisson equation on a finite state space
Dynamic mean-risk optimization in a binomial model
Conditional decision processes with recursive function
Risk-sensitive and minimax control of discrete-time, finite-state Markov decision processes
Risk sensitive control of Markov processes in countable state space
Connections between stochastic control and dynamic games
Infinite horizon risk sensitive control of discrete time Markov processes with small risk
Optimizing conditional value-at-risk in dynamic pricing
Optimal dividend payout model with risk sensitive preferences
Convex dynamic programming with (bounded) recursive utility
Stochastic optimal growth model with risk sensitive preferences
A survey on risk-averse and robust revenue management
Time-consistent, risk-averse dynamic pricing
A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains
Existence of risk-sensitive optimal stationary policies for controlled Markov processes
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach
Stochastic optimization of forward recursive functions
Minimax and risk averse multistage stochastic programming
Markov decision processes with average-value-at-risk criteria
Consumption-portfolio optimization with recursive utility in incomplete markets
Unique solutions for stochastic recursive utilities
Risk sensitive portfolio optimization
Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
Regime switching optimal growth model with risk sensitive preferences
Markov decision processes with recursive risk measures
Risk neutral and risk averse stochastic dual dynamic programming method
Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity
Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility
A multi-product risk-averse newsvendor with exponential utility function
Existence of stationary Markov perfect equilibria in stochastic altruistic growth economies
Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains
A note on risk-sensitive control of invariant models
A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
Discounted approximations to the risk-sensitive average cost in finite Markov chains
Average optimality for risk-sensitive control with general state space
Risk-sensitive capacity control in revenue management
Discounted Markov decision processes with utility constraints
Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
Structure of risk-averse multistage stochastic programs
Dynamic programming for non-additive stochastic objectives
Measuring risk for income streams
Risk-sensitive control of Markov decision processes: a moment-based approach with target distributions
Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation
The vanishing discount approach in Markov chains with risk-sensitive criteria
A Characterization of the Optimal Certainty Equivalent of the Average Cost via the Arrow-Pratt Sensitivity Function
Decomposition Algorithms for Risk-Averse Multistage Stochastic Programs with Application to Water Allocation under Uncertainty
Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs
Risk-Sensitive Markov Control Processes
Markov decision processes with iterated coherent risk measures
Risk-Sensitive Control Under Markov Modulated Denial-of-Service (DoS) Attack Strategies
Examples in Markov Decision Processes
Risk-sensitive average optimality in Markov decision processes
A Learning Algorithm for Risk-Sensitive Cost
Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space
Stationary Policies in Dynamic Programming Models Under Compactness Assumptions
Multiplicative Markov Decision Chains
A Turnpike Theorem For A Risk-Sensitive Markov Decision Process with Stopping
Tight Approximations of Dynamic Risk Measures
Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
Risk-sensitive linear/quadratic/gaussian control
Stochastic Differential Utility
Inventory Control with an Exponential Utility Criterion
Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
A Utility Criterion for Markov Decision Processes
Temporal Resolution of Uncertainty and Dynamic Choice Theory
Decision Problems with Expected Utility Critera, I: Upper and Lower Convergent Utility
Decision Problems with Expected Utility Criteria, II: Stationarity
Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
Risk-sensitive optimal control of hidden Markov models: structural results
Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I
Finite-horizon dynamic optimisation when the terminal reward is a concave functional of the distribution of the final state
A note on a new class of recursive utilities in Markov decision processes
Partially Observable Risk-Sensitive Markov Decision Processes
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
Discounted linear exponential quadratic Gaussian control
Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
Discrete-time risk-aware optimal switching with non-adapted costs
On Solving Multistage Stochastic Programs with Coherent Risk Measures