Risk aversion in finite Markov Decision Processes using total cost criteria and average value at risk.
Stefano CarpinYinlam ChowMarco PavonePublished in: ICRA (2016)
Keyphrases
- risk aversion
- total cost
- average cost
- inventory level
- markov decision processes
- risk neutral
- optimal policy
- risk averse
- utility function
- risk sensitive
- infinite horizon
- expected utility
- lead time
- finite horizon
- state space
- optimal solution
- production cost
- planning horizon
- lost sales
- finite number
- service level
- finite state
- policy iteration
- reinforcement learning
- markov decision process
- markov decision problems
- dynamic programming
- initial state
- action space
- state dependent
- misclassification costs
- exchange rate
- optimality criterion
- asymptotically optimal
- objective function
- average reward
- long run
- order quantity
- integer programming
- machine learning