Risk-Sensitive Markov Decision Under Risk Constraints with Coherent Risk Measures.
Yuji YoshidaPublished in: MDAI (2019)
Keyphrases
- risk measures
- risk sensitive
- markov decision
- utility function
- risk averse
- optimal control
- markov decision processes
- production system
- model free
- robust optimization
- optimality criterion
- objective function
- markov decision problems
- portfolio optimization
- expected utility
- control policies
- average cost
- multistage
- genetic algorithm