Markov risk mappings and risk-sensitive optimal prediction.
Tomasz KosmalaRandall MartyrJohn MoriartyPublished in: Math. Methods Oper. Res. (2023)
Keyphrases
- risk sensitive
- optimal control
- risk neutral
- optimality criterion
- utility function
- markov decision processes
- dynamic programming
- average cost
- control policies
- risk averse
- control strategy
- model free
- decision theoretic
- expected utility
- markov decision chains
- infinite horizon
- finite horizon
- optimal policy
- markov chain
- state space
- optimal solution
- reinforcement learning
- machine learning