RASR: Risk-Averse Soft-Robust MDPs with EVaR and Entropic Risk.
Jia Lin HauMarek PetrikMohammad GhavamzadehReazul Hasan RusselPublished in: CoRR (2022)
Keyphrases
- risk averse
- risk neutral
- risk aversion
- utility function
- stochastic programming
- decision makers
- risk measures
- portfolio management
- markov decision processes
- expected utility
- robust optimization
- risk sensitive
- state space
- multistage
- decision support system
- markov decision problems
- reinforcement learning
- decision theory