Markov decision processes with recursive risk measures.

Nicole Bäuerle Alexander Glauner

Published in: Eur. J. Oper. Res. (2022)

Keyphrases

markov decision processes
risk measures
optimal policy
state space
finite state
transition matrices
reinforcement learning
policy iteration
dynamic programming
decision theoretic planning
risk averse
infinite horizon
action sets
average reward
robust optimization
average cost
markov decision process