4.7 Article

Stochastic Approximation for Risk-Aware Markov Decision Processes

Related references

Note: Only part of the references are listed.
Article Operations Research & Management Science

Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures

Daniel R. Jiang et al.

MATHEMATICS OF OPERATIONS RESEARCH (2018)

Article Automation & Control Systems

A CONVEX ANALYTIC APPROACH TO RISK-AWARE MARKOV DECISION PROCESSES

William B. Haskell et al.

SIAM JOURNAL ON CONTROL AND OPTIMIZATION (2015)

Article Mathematics, Applied

CONTINUITY OF OPTIMAL SOLUTION FUNCTIONS AND THEIR CONDITIONS ON OBJECTIVE FUNCTIONS

Yasushi Terazono et al.

SIAM JOURNAL ON OPTIMIZATION (2015)

Article Operations Research & Management Science

Kusuoka representations of coherent risk measures in general probability spaces

Nilay Noyan et al.

ANNALS OF OPERATIONS RESEARCH (2015)

Article Automation & Control Systems

Risk-Constrained Markov Decision Processes

Vivek Borkar et al.

IEEE TRANSACTIONS ON AUTOMATIC CONTROL (2014)

Article Operations Research & Management Science

More Risk-Sensitive Markov Decision Processes

Nicole Baeuerle et al.

MATHEMATICS OF OPERATIONS RESEARCH (2014)

Article Computer Science, Artificial Intelligence

Risk-Sensitive Reinforcement Learning

Yun Shen et al.

NEURAL COMPUTATION (2014)

Article Operations Research & Management Science

On Kusuoka Representation of Law Invariant Risk Measures

Alexander Shapiro

MATHEMATICS OF OPERATIONS RESEARCH (2013)

Article Management

Optimization with Multivariate Conditional Value-at-Risk Constraints

Nilay Noyan et al.

OPERATIONS RESEARCH (2013)

Article Automation & Control Systems

STOCHASTIC DOMINANCE-CONSTRAINED MARKOV DECISION PROCESSES

William B. Haskell et al.

SIAM JOURNAL ON CONTROL AND OPTIMIZATION (2013)

Article Automation & Control Systems

RISK-SENSITIVE MARKOV CONTROL PROCESSES

Yun Shen et al.

SIAM JOURNAL ON CONTROL AND OPTIMIZATION (2013)

Article Operations Research & Management Science

Markov Decision Processes with Average-Value-at-Risk criteria

Nicole Baeuerle et al.

MATHEMATICAL METHODS OF OPERATIONS RESEARCH (2011)

Article Statistics & Probability

ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY, AND ROBUST LARGE DEVIATIONS

Hans Foellmer et al.

STOCHASTICS AND DYNAMICS (2011)

Article Computer Science, Software Engineering

Risk-averse dynamic programming for Markov decision processes

Andrzej Ruszczynski

MATHEMATICAL PROGRAMMING (2010)

Article Management

Constructing Uncertainty Sets for Robust Linear Optimization

Dimitris Bertsimas et al.

OPERATIONS RESEARCH (2009)

Article Mathematics, Applied

ROBUST STOCHASTIC APPROXIMATION APPROACH TO STOCHASTIC PROGRAMMING

A. Nemirovski et al.

SIAM JOURNAL ON OPTIMIZATION (2009)

Article Business, Finance

An old-new concept of convex risk measures: The optimized certainty equivalent

Aharon Ben-Tal et al.

MATHEMATICAL FINANCE (2007)

Article Business, Finance

Spectral measures of risk: A coherent representation of subjective risk aversion

C Acerbi

JOURNAL OF BANKING & FINANCE (2002)

Article Operations Research & Management Science

Q-learning for risk-sensitive control

VS Borkar

MATHEMATICS OF OPERATIONS RESEARCH (2002)

Article Mathematics, Applied

Stability of locally optimal solutions

AB Levy et al.

SIAM JOURNAL ON OPTIMIZATION (2000)

Article Automation & Control Systems

The ODE method for convergence of stochastic approximation and reinforcement learning

VS Borkar et al.

SIAM JOURNAL ON CONTROL AND OPTIMIZATION (2000)