Risk measurement and risk-averse control of partially observable discrete-time Markov systems.
Jingnan FanAndrzej RuszczynskiPublished in: Math. Methods Oper. Res. (2018)
Keyphrases
- risk averse
- partially observable
- risk neutral
- utility function
- risk aversion
- decision problems
- dynamical systems
- markov chain
- stochastic programming
- complex systems
- decision making
- markov decision processes
- finite state
- expected utility
- decision makers
- state space
- control system
- optimal control
- infinite horizon
- portfolio management
- reinforcement learning