Markov Decision Processes with Average-Value-at-Risk criteria
نویسندگان
چکیده
منابع مشابه
Markov Decision Processes with Average-Value-at-Risk criteria
P We investigate the problem of minimizing the Average-Value-at-Risk (AV aRτ ) of the discounted cost over a finite and an infinite horizon which is generated by a Markov Decision Process (MDP). We show that this problem can be reduced to an ordinary MDP with extended state space and give conditions under which an optimal policy exists. We also give a time-consistent interpretation of the AV aR...
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ژورنال
عنوان ژورنال: Mathematical Methods of Operations Research
سال: 2011
ISSN: 1432-2994,1432-5217
DOI: 10.1007/s00186-011-0367-0