Computational Methods for Risk-Averse Undiscounted Transient Markov Models.
Özlem ÇavusAndrzej RuszczynskiPublished in: Oper. Res. (2014)
Keyphrases
- markov models
- computational methods
- risk averse
- risk neutral
- markov model
- maximum entropy
- higher order
- utility function
- decision makers
- steady state
- hidden markov models
- markov decision problems
- stochastic programming
- transition probabilities
- markov decision processes
- expected utility
- statistical methods
- portfolio management
- infinite horizon
- conditional random fields
- markov chain
- linear programming
- data mining
- multistage
- statistical analysis
- inventory level
- state space
- association rules
- decision making