Constrained Risk-Averse Markov Decision Processes.
Mohamadreza AhmadiUgo RosoliaMichel D. InghamRichard M. MurrayAaron D. AmesPublished in: AAAI (2021)
Keyphrases
- markov decision processes
- risk averse
- risk neutral
- risk sensitive
- decision makers
- utility function
- optimal policy
- stochastic programming
- finite state
- reinforcement learning
- dynamic programming
- policy iteration
- state space
- portfolio management
- transition matrices
- markov decision process
- expected utility
- infinite horizon
- partially observable
- finite horizon
- decision processes
- average reward
- average cost
- partially observable markov decision processes
- action space
- reward function
- linear program
- multistage
- optimal solution
- learning algorithm