On Dynamic Programming Decompositions of Static Risk Measures in Markov Decision Processes.
Jia Lin HauErick DelageMohammad GhavamzadehMarek PetrikPublished in: NeurIPS (2023)
Keyphrases
- markov decision processes
- risk measures
- dynamic programming
- state space
- optimal policy
- finite state
- policy iteration
- infinite horizon
- multistage
- risk averse
- optimal control
- planning under uncertainty
- linear programming
- decision theoretic planning
- partially observable
- average cost
- action space
- portfolio optimization
- reinforcement learning
- markov decision problems
- average reward
- transition matrices
- linear program
- search algorithm
- decision making