Mean Variance Optimization in Markov Decision Processes with State-Dependent Risk Aversion

SSRN Electronic Journal ◽

10.2139/ssrn.3044018 ◽

2017 ◽

Author(s):

Rainer Schlosser

Keyword(s):

Risk Aversion ◽

Markov Decision Processes ◽

Decision Processes ◽

State Dependent ◽

Markov Decision ◽

Mean Variance

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Markov decision processes with state-dependent discount factors and unbounded rewards/costs

Operations Research Letters ◽

10.1016/j.orl.2011.06.014 ◽

2011 ◽

Cited By ~ 1

Author(s):

Qingda Wei ◽

Xianping Guo

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Discount Factors ◽

State Dependent ◽

Markov Decision

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Risk aversion to parameter uncertainty in Markov decision processes with an application to slow-onset disaster relief

IISE Transactions ◽

10.1080/24725854.2019.1674464 ◽

2019 ◽

Vol 52 (8) ◽

pp. 811-831

Author(s):

Merve Meraklı ◽

Simge Küçükyavuz

Keyword(s):

Risk Aversion ◽

Markov Decision Processes ◽

Parameter Uncertainty ◽

Disaster Relief ◽

Decision Processes ◽

Markov Decision ◽

Slow Onset

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A mean-variance optimization problem for continuous-time Markov decision processes

Scientia Sinica Mathematica ◽

10.1360/n012013-00117 ◽

2014 ◽

Vol 44 (8) ◽

pp. 883-898

Author(s):

XiangXiang HUANG ◽

LiuEr YE

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Optimization Problem ◽

Decision Processes ◽

Markov Decision ◽

Mean Variance

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Mean-Variance Analysis in Infinite Horizon Non-Discounted Markov Decision Processes: Technical Note

Journal of Information and Optimization Sciences ◽

10.1080/02522667.1995.10699235 ◽

1995 ◽

Vol 16 (2) ◽

pp. 381-386 ◽

Cited By ~ 3

Author(s):

D. J. White

Keyword(s):

Markov Decision Processes ◽

Infinite Horizon ◽

Technical Note ◽

Decision Processes ◽

Variance Analysis ◽

Markov Decision ◽

Mean Variance

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Continuous-Time Markov Decision Processes with State-Dependent Discount Factors

Acta Applicandae Mathematicae ◽

10.1007/s10440-012-9669-3 ◽

2012 ◽

Vol 121 (1) ◽

pp. 5-27 ◽

Cited By ~ 3

Author(s):

Liuer Ye ◽

Xianping Guo

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

Discount Factors ◽

State Dependent ◽

Markov Decision

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Mean-Variance Problems for Finite Horizon Semi-Markov Decision Processes

Applied Mathematics & Optimization ◽

10.1007/s00245-014-9278-9 ◽

2014 ◽

Vol 72 (2) ◽

pp. 233-259 ◽

Cited By ~ 2

Author(s):

Yonghui Huang ◽

Xianping Guo

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Finite Horizon ◽

Markov Decision ◽

Mean Variance

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Mean, variance, and probabilistic criteria in finite Markov decision processes: A review

Journal of Optimization Theory and Applications ◽

10.1007/bf00938524 ◽

1988 ◽

Vol 56 (1) ◽

pp. 1-29 ◽

Cited By ~ 68

Author(s):

D. J. White

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Markov Decision ◽

Mean Variance ◽

Probabilistic Criteria

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Risk aversion in finite Markov Decision Processes using total cost criteria and average value at risk

2016 IEEE International Conference on Robotics and Automation (ICRA) ◽

10.1109/icra.2016.7487152 ◽

2016 ◽

Cited By ~ 3

Author(s):

Stefano Carpin ◽

Yin-Lam Chow ◽

Marco Pavone

Keyword(s):

At Risk ◽

Risk Aversion ◽

Markov Decision Processes ◽

Value At Risk ◽

Decision Processes ◽

Total Cost ◽

Average Value ◽

Markov Decision ◽

Average Value At Risk

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A mean–variance optimization problem for discounted Markov decision processes

European Journal of Operational Research ◽

10.1016/j.ejor.2012.01.051 ◽

2012 ◽

Vol 220 (2) ◽

pp. 423-429 ◽

Cited By ~ 15

Author(s):

Xianping Guo ◽

Liuer Ye ◽

George Yin

Keyword(s):

Markov Decision Processes ◽

Optimization Problem ◽

Decision Processes ◽

Markov Decision ◽

Mean Variance

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On the First Passage $g$-Mean-Variance Optimality for Discounted Continuous-Time Markov Decision Processes

SIAM Journal on Control and Optimization ◽

10.1137/140968872 ◽

2015 ◽

Vol 53 (3) ◽

pp. 1406-1424 ◽

Cited By ~ 6

Author(s):

Xianping Guo ◽

Xiangxiang Huang ◽

Yi Zhang

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

First Passage ◽

Markov Decision ◽

Mean Variance

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