On terminating Markov decision processes with a risk-averse objective function.
Stephen D. PatekPublished in: Autom. (2001)
Keyphrases
- markov decision processes
- risk averse
- objective function
- decision makers
- stochastic programming
- utility function
- optimal policy
- state space
- finite state
- policy iteration
- risk sensitive
- dynamic programming
- reinforcement learning
- linear program
- portfolio management
- linear programming
- multi objective
- finite horizon
- optimal solution
- infinite horizon
- lower bound
- decision making
- cost function
- action space
- average cost
- optimization problems
- inventory level
- average reward
- machine learning
- partially observable
- multistage
- expected utility
- decision problems