Constrained Risk-Averse Markov Decision Processes.
Mohamadreza AhmadiUgo RosoliaMichel D. InghamRichard M. MurrayAaron D. AmesPublished in: CoRR (2020)
Keyphrases
- markov decision processes
- risk averse
- risk neutral
- risk sensitive
- decision makers
- utility function
- finite state
- state space
- stochastic programming
- optimal policy
- dynamic programming
- transition matrices
- policy iteration
- reinforcement learning
- infinite horizon
- finite horizon
- decision processes
- expected utility
- portfolio management
- average cost
- action space
- inventory level
- partially observable
- average reward
- data mining
- markov decision process
- decision problems
- multistage
- evolutionary algorithm
- machine learning