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Risk|sensitive control of Markov decision processes
Risk-Sensitive Markov Decision Processes - jstor
MANAGEMENT SCIENCE. Vol. 18, No. 7, March, 1972. IPrinted in U.S.A.. RISK-SENSITIVE MARKOV DECISION PROCESSES*. RONALD A. HOWARDt AND JAMES E. MATHESONt? This ...
Markov decision processes with risk-sensitive criteria: an overview
The theory of Markov decision processes (MDPs) deals with stochastic, dynamic optimization problems. In the classical situation, the aim is to ...
Risk-sensitive control of Markov decision processes: A moment ...
We present a multi-valued dynamic programming heuristic to compute risk-sensitive feedback policies that are able to directly control the moments of future ...
Risk-Sensitive Markov Decision Processes - SpringerLink
Traditionally, Markov decision processes are Markov processes whose transition law is controlled by a decision maker aiming at a ...
Markov Decision Processes with Risk-Sensitive Criteria: An Overview
Title:Markov Decision Processes with Risk-Sensitive Criteria: An Overview ; Subjects: Risk Management (q-fin.RM) ; Cite as: arXiv:2311.06896 [q- ...
Risk-sensitive Markov Decision Process and Learning under ... - arXiv
Subjects: Machine Learning (cs.LG); Optimization and Control (math.OC) ; Cite as: arXiv:2311.13589 [cs.LG] ; (or arXiv:2311.13589v1 [cs.LG] for ...
Risk-Sensitive Markov Decision Processes | Management Science
This paper considers the maximization of certain equivalent reward generated by a Markov decision process with constant risk sensitivity.
As far as applications are concerned, risk-sensitive problems can e.g. be found in Bielecki et al. (1999) where portfolio management is considered, in Denardo ...
Risk-sensitive optimal control for Markov decision - jstor
Printed in U.S.A.. RISK-SENSITIVE OPTIMAL CONTROL FOR MARKOV DECISION. PROCESSES WITH MONOTONE COST. V. S. BORKAR AND S. P. MEYN.
Risk-Sensitive Markov Control Processes - SIAM Publications Library
We introduce a general framework for measuring risk in the context of Markov control processes with risk maps on general Borel spaces that generalize known ...
(PDF) Risk Sensitive Markov Decision Processes - ResearchGate
Defining an appropriate information state we formulate an equivalent control problem with completely observed state dynamics, which is solved using dynamic ...
Risk-Sensitive Markov Decision Processes - ACM Digital Library
This paper considers the maximization of certain equivalent reward generated by a Markov decision process with constant risk sensitivity.
Risk‐sensitive Markov decision processes with long‐run CVaR ...
However, dynamically optimizing CVaR is difficult, because it is not a standard Markov decision process (MDP) and the principle of dynamic ...
Keywords: Optimal Control; Risk Sensitive Control; Dynamic Pro- gramming. 1 Introduction. This paper concerns optimal control of Markov Decision ...
Risk-Sensitive Markov Decision Processes of USV Trajectory ... - MDPI
The proposed method utilizes the Risk-Sensitive Markov decision process model to generate a set of states within the USV collision avoidance ...
Risk-Sensitive Markov Decision Processes - ResearchGate
Risk-Sensitive Control of Markov Decision Processes: A Moment-Based Approach with Target Distributions. Article. Full-text available. May 2020; COMPUT OPER RES.
Risk‐Sensitive Markov Decision Processes with Combined Metrics ...
This study investigates the optimization problem of an infinite stage discrete time Markov decision process (MDP) with a long‐run average metric considering ...
Risk-Sensitive Optimal Control for Markov Decision Processes with ...
The existence of an optimal feedback law is established for the risk-sensitive optimal control problem with denumerable state space.
Risk-averse control of Markov decision processes with ω-regular ...
Abstract: Many control problems in environments that can be modeled as Markov decision processes (MDPs) concern infinite-time horizon specifications.
Risk‐Sensitive Markov Decision Processes with Combined Metrics ...
This study investigates the optimization problem of an infinite stage discrete time Markov decision process (MDP) with a long-run average ...