Risk-sensitive control of Markov decision processes: A moment-based approach with target distributions

Computers & Operations Research ◽

10.1016/j.cor.2020.104997 ◽

2020 ◽

Vol 123 ◽

pp. 104997

Author(s):

Rainer Schlosser

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Risk Sensitive ◽

Markov Decision ◽

Risk Sensitive Control

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Risk‐Sensitive Markov Decision Processes with Combined Metrics of Mean and Variance

Production and Operations Management ◽

10.1111/poms.13252 ◽

2020 ◽

Author(s):

Li Xia

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Risk Sensitive ◽

Markov Decision ◽

Mean And Variance

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Time-Inconsistent Risk-Sensitive Equilibrium for Countable-Stated Markov Decision Processes

Applied Mathematics & Optimization ◽

10.1007/s00245-020-09690-3 ◽

2020 ◽

Author(s):

Hongwei Mei

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Risk Sensitive ◽

Markov Decision ◽

Time Inconsistent

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Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces

Discrete Event Dynamic Systems ◽

10.1007/s10626-019-00292-y ◽

2019 ◽

Vol 29 (4) ◽

pp. 445-471 ◽

Author(s):

Xianping Guo ◽

Junyu Zhang

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

Risk Sensitive ◽

Markov Decision

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Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space

Mathematical Methods of Operations Research ◽

10.1007/s001860200256 ◽

2003 ◽

Vol 57 (2) ◽

pp. 263-285 ◽

Author(s):

Rolando Cavazos-Cadena

Keyword(s):

Markov Decision Processes ◽

Average Cost ◽

Decision Processes ◽

Optimality Equation ◽

Risk Sensitive ◽

Finite State ◽

Markov Decision ◽

Average Cost Optimality Equation ◽

Cost Optimality ◽

Finite State Space

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Continuous-time Markov decision processes under the risk-sensitive average cost criterion

Operations Research Letters ◽

10.1016/j.orl.2016.04.010 ◽

2016 ◽

Vol 44 (4) ◽

pp. 457-462 ◽

Author(s):

Qingda Wei ◽

Xian Chen

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Average Cost ◽

Decision Processes ◽

Average Cost Criterion ◽

Cost Criterion ◽

Risk Sensitive ◽

Markov Decision

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Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion

Mathematical Methods of Operations Research ◽

10.1007/s00186-016-0550-4 ◽

2016 ◽

Vol 84 (3) ◽

pp. 461-487 ◽

Author(s):

Qingda Wei

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

Finite Horizon ◽

Cost Criterion ◽

Risk Sensitive ◽

Markov Decision

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Markov decision processes with risk-sensitive criteria: dynamic programming operators and discounted stochastic games

Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228) ◽

10.1109/cdc.2001.980564 ◽

2003 ◽

Author(s):

R. Cavazos-Cadena ◽

E. Fernandez-Gaucherand

Keyword(s):

Dynamic Programming ◽

Markov Decision Processes ◽

Stochastic Games ◽

Decision Processes ◽

Risk Sensitive ◽

Markov Decision

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Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost

Mathematics of Operations Research ◽

10.1287/moor.27.1.192.334 ◽

2002 ◽

Vol 27 (1) ◽

pp. 192-209 ◽

Author(s):

V. S. Borkar ◽

S. P. Meyn

Keyword(s):

Optimal Control ◽

Markov Decision Processes ◽

Decision Processes ◽

Risk Sensitive ◽

Markov Decision

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Continuous-Time Zero-Sum Games for Markov Decision Processes with Discounted Risk-Sensitive Cost Criterion

Dynamic Games and Applications ◽

10.1007/s13235-021-00391-2 ◽

2021 ◽

Author(s):

Subrata Golui ◽

Chandan Pal ◽

Subhamay Saha

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

Zero Sum Games ◽

Time Zero ◽

Cost Criterion ◽

Risk Sensitive ◽

Markov Decision ◽

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Verification of Markov Decision Processes with Risk-Sensitive Measures

2018 Annual American Control Conference (ACC) ◽

10.23919/acc.2018.8430905 ◽

2018 ◽

Author(s):

Murat Cubuktepe ◽

Ufuk Topcu

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Risk Sensitive ◽

Markov Decision

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