Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures.
Nicole BäuerleAlexander GlaunerPublished in: Math. Oper. Res. (2022)
Keyphrases
- markov decision processes
- risk measures
- robust optimization
- state space
- reinforcement learning
- finite state
- policy iteration
- optimal policy
- transition matrices
- decision theoretic planning
- dynamic programming
- average cost
- markov decision process
- portfolio optimization
- stochastic programming
- action sets
- real time dynamic programming
- average reward
- action space
- mathematical programming
- steady state
- multi agent systems
- infinite horizon