Markov decision processes with iterated coherent risk measures

International Journal of Control ◽

10.1080/00207179.2014.909947 ◽

2014 ◽

pp. 1-8 ◽

Author(s):

Shanyun Chu ◽

Yi Zhang

Keyword(s):

Markov Decision Processes ◽

Risk Measures ◽

Decision Processes ◽

Coherent Risk Measures ◽

Coherent Risk ◽

Markov Decision

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Markov Decision Processes with Coherent Risk Measures: Risk Aversity in Asset Management

2019 IEEE Conference on Cognitive and Computational Aspects of Situation Management (CogSIMA) ◽

10.1109/cogsima.2019.8724252 ◽

2019 ◽

Author(s):

Yuji Yoshida

Keyword(s):

Markov Decision Processes ◽

Asset Management ◽

Risk Measures ◽

Decision Processes ◽

Coherent Risk Measures ◽

Coherent Risk ◽

Markov Decision

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Markov Decision Processes with Fuzzy Risk-Sensitive Rewards: The Best Coherent Risk Measures Under Risk Averse Utilities

Studies in Computational Intelligence - Computational Intelligence ◽

10.1007/978-3-030-70594-7_6 ◽

2021 ◽

pp. 135-161

Author(s):

Yuji Yoshida

Keyword(s):

Markov Decision Processes ◽

Risk Measures ◽

Decision Processes ◽

Risk Averse ◽

Coherent Risk Measures ◽

Coherent Risk ◽

Risk Sensitive ◽

Markov Decision

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Risk-sensitive Markov Decision Processes with Risk Constraints of Coherent Risk Measures in Fuzzy and Stochastic Environment

Proceedings of the 11th International Joint Conference on Computational Intelligence ◽

10.5220/0007957502690277 ◽

2019 ◽

Author(s):

Yuji Yoshida

Keyword(s):

Markov Decision Processes ◽

Risk Measures ◽

Decision Processes ◽

Stochastic Environment ◽

Coherent Risk Measures ◽

Coherent Risk ◽

Risk Sensitive ◽

Markov Decision

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Risk-Sensitive Markov Decision Under Risk Constraints with Coherent Risk Measures

Modeling Decisions for Artificial Intelligence - Lecture Notes in Computer Science ◽

10.1007/978-3-030-26773-5_3 ◽

2019 ◽

pp. 29-40

Author(s):

Yuji Yoshida

Keyword(s):

Risk Measures ◽

Coherent Risk Measures ◽

Decision Under Risk ◽

Coherent Risk ◽

Risk Sensitive ◽

Markov Decision

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Markov Decision Processes with Recursive Risk Measures

European Journal of Operational Research ◽

10.1016/j.ejor.2021.04.030 ◽

2021 ◽

Author(s):

Nicole Bäuerle ◽

Alexander Glauner

Keyword(s):

Markov Decision Processes ◽

Risk Measures ◽

Decision Processes ◽

Markov Decision

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Learning Control of Dynamical Systems Based on Markov Decision Processes: Research Frontiers and Outlooks

ACTA AUTOMATICA SINICA ◽

10.3724/sp.j.1004.2012.00673 ◽

2012 ◽

Vol 38 (5) ◽

pp. 673-687 ◽

Author(s):

Xin XU ◽

Dong SHEN ◽

Yan-Qing GAO ◽

Kai WANG

Keyword(s):

Dynamical Systems ◽

Markov Decision Processes ◽

Learning Control ◽

Decision Processes ◽

Markov Decision ◽

Research Frontiers

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An adaptive procedure for estimating coherent risk measures based on generalized scenarios

The Journal of Computational Finance ◽

10.21314/jcf.2008.186 ◽

2008 ◽

Vol 11 (4) ◽

pp. 1-31 ◽

Author(s):

Vadim Lesnevski ◽

Barry Nelson ◽

Jeremy Staum

Keyword(s):

Risk Measures ◽

Coherent Risk Measures ◽

Adaptive Procedure ◽

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A Framework for Modeling Bounded Rationality: Mis-Specified Bayesian-Markov Decision Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2710475 ◽

2016 ◽

Author(s):

Ignacio Esponda ◽

Demian Pouzo

Keyword(s):

Bounded Rationality ◽

Markov Decision Processes ◽

Decision Processes ◽

Markov Decision

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Simulation of Coherent Risk Measures Based on Generalized Scenarios

SSRN Electronic Journal ◽

10.2139/ssrn.729663 ◽

2006 ◽

Author(s):

Vadim Lesnevski ◽

Barry L. Nelson ◽

Jeremy C. Staum

Keyword(s):

Risk Measures ◽

Coherent Risk Measures ◽

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A Vector Minimum Superharmonic Approach to Solving Infinite-Horizon Discounted Markov Decision Processes

Journal of the Operational Research Society ◽

10.1038/sj/jors/0431109 ◽

1992 ◽

Vol 43 (11) ◽

pp. 1095-1102

Author(s):

D J White

Keyword(s):

Markov Decision Processes ◽

Infinite Horizon ◽

Decision Processes ◽

Markov Decision

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