Risk measurement and risk-averse control of partially observable discrete-time Markov systems
type: Item
instance of: scholarly article
title: Risk measurement and risk-averse control of partially observable discrete-time Markov systems
zbMATH Open document ID: 1407.90335
author: Jingnan Fan
author: Andrzej Ruszczyński
published in: Mathematical Methods of Operations Research
publication date: 2018-11-07T00:00:00Z
Mathematics Subject Classification ID: 90C40
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 6974530
zbMATH Keywords: partially observable Markov processes
zbMATH Keywords: dynamic risk measures
zbMATH Keywords: time consistency
zbMATH Keywords: dynamic programming
MaRDI profile type: Publication
full work available at URL: s00186-018-0633-5
OpenAlex ID: W2789285413
Wikidata QID: Q100994390
cites work: Markov Decision Problems Where Means Bound Variances
cites work: Coherent multiperiod risk adjusted values and Bellman's principle
cites work: Set-valued analysis
cites work: Markov decision processes with applications to finance.
cites work: More Risk-Sensitive Markov Decision Processes
cites work: Partially Observable Risk-Sensitive Markov Decision Processes
cites work: Computational methods for risk-averse undiscounted transient Markov models
cites work: Risk-Averse Control of Undiscounted Transient Markov Models
cites work: Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
cites work: Dynamic monetary risk measures for bounded discrete-time processes
cites work: COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
cites work: Markov decision processes with iterated coherent risk measures
cites work: Risk-sensitive and minimax control of discrete-time, finite-state Markov decision processes
cites work: Explicit solutions for multivariate, discrete-time control problems under uncertainty
cites work: Q4186114
cites work: Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
cites work: Partially observable total-cost Markov decision processes with weakly continuous transition probabilities
cites work: Risk-sensitive optimal control of hidden Markov models: structural results
cites work: Variance-Penalized Markov Decision Processes
cites work: Convex risk measures and the dynamics of their penalty functions
cites work: Q5599448
cites work: Risk-Sensitive Markov Decision Processes
cites work: Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
cites work: Markov decision processes with a new optimality criterion: Discrete time
cites work: Persistently Optimal Policies in Stochastic Dynamic Programming with Generalized Discounting
cites work: VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
cites work: DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
cites work: Q5531649
cites work: On modeling risk in Markov decision processes.
cites work: Algorithmic aspects of mean-variance optimization in Markov decision processes
cites work: Q5284147
cites work: From stochastic dominance to mean-risk models: Semideviations as risk measures
cites work: On consistency of stochastic dominance and mean-semideviation models
cites work: Q3528030
cites work: Dynamic coherent risk measures
cites work: COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
cites work: Concepts and methods for discrete and continuous time control under uncertainty
cites work: Risk-averse dynamic programming for Markov decision processes
cites work: Optimization of Convex Risk Functions
cites work: Conditional Risk Mappings
cites work: Risk-sensitive Markov control processes
cites work: Mean, variance and probabilistic criteria in finite Markov decision processes: A review
DOI: 10.1007/S00186-018-0633-5
description: scientific article; zbMATH DE number 6974530