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- Risk‐sensitive Markov decision processes with long‐run CVaR🔍
- Markov decision processes with risk|sensitive criteria🔍
- Risk|Sensitive and Robust Decision|Making🔍
- Risk|sensitive control of Markov decision processes🔍
- On the Maximization of Long|Run Reward CVaR for Markov ...🔍
- Risk|Sensitive Markov Decision Processes with Combined Metrics ...🔍
Risk‐sensitive Markov decision processes with long‐run CVaR ...
Risk‐sensitive Markov decision processes with long‐run CVaR ...
In this paper, we study the infinite-horizon discrete-time MDP with a long-run CVaR criterion, from the view of sensitivity-based optimization.
Risk-Sensitive Markov Decision Processes with Long-Run CVaR ...
Title:Risk-Sensitive Markov Decision Processes with Long-Run CVaR Criterion ... Abstract:CVaR (Conditional Value at Risk) is a risk metric widely ...
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 ...
Risk‐sensitive Markov decision processes with long‐run CVaR
Abstract. CVaR (Conditional value at risk) is a risk metric widely used in finance. However, dynamically optimizing CVaR is difficult, because it is not a ...
Risk‐sensitive Markov decision processes with long‐run CVaR ...
A policy iteration type algorithm is developed to efficiently optimize CVaR, which is shown to converge to a local optimum in mixed policy space and a ...
(PDF) Risk-Sensitive Markov Decision Processes with Long-Run ...
However, dynamically optimizing CVaR is difficult since it is not a standard Markov decision process (MDP) and the principle of dynamic ...
Markov decision processes with risk-sensitive criteria: an overview
The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term 'risk-sensitive' refers ...
Risk-Sensitive Markov Decision Processes with Long-Run CVaR ...
Risk-Sensitive Markov Decision Processes with Long-Run. CVaR Criterion. Li Xia∗, Peter W. Glynn†. Abstract. CVaR (Conditional Value at Risk) is ...
While the risk-neutral policy finds a shorter route (with average cost equal to 18.137 on successful runs) ... Risk-sensitive Markov decision processes. Management ...
Markov decision processes with risk-sensitive criteria: an overview
The term 'risk-sensitive' refers here to the use of the Optimized. Certainty Equivalent as a means to measure expectation and risk. This ...
Risk-sensitive control of Markov decision processes: A moment ...
Schur et al. (2019) for the optimization of CVaR. If instead, the goal is to find a policy that optimizes one main risk-sensitive objective for the initial ...
On the Maximization of Long-Run Reward CVaR for Markov ...
This paper studies the optimization of Markov decision processes (MDPs) from a risk-seeking perspective, where the risk is measured by ...
Risk-Sensitive Markov Decision Processes with Long-Run CVaR Criterion ... Abstract:CVaR (Conditional Value at Risk) is a risk metric widely used in finance.
Risk-Sensitive Markov Decision Processes with Combined Metrics ...
This paper investigates the optimization problem of an infinite stage discrete time Markov decision process (MDP) with a long‐run average metric ...
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.
More Risk-Sensitive Markov Decision Processes - jstor
... long-run performance measures, can be found in the survey of White [34]. Lim and Zhou [27] consider a controlled diffusion on a finite time interval with a risk ...
Provably Efficient CVaR RL in Low-rank MDPs - OpenReview
Prior theoretical work studying risk-sensitive RL focuses on the tabular Markov Decision Processes (MDPs) setting. To extend CVaR RL to settings where state ...
Approximate solutions to constrained risk-sensitive Markov decision ...
We consider the problem to find solution of infinite-horizon, constrained risk-sensitive Markov decision processes. · Objective and constraints ...
Risk-Sensitive and Robust Decision-Making: a CVaR Optimization ...
In this paper we address the problem of decision making within a Markov decision process (MDP) framework where risk and modeling errors are taken into account.
Risk-Sensitive Markov Decision Processes - SpringerLink
Risk-sensitive Markov decision processes are a generalization of such models, taking into account higher order moments as well by aiming at a ...