Markov decision processes with recursive risk measures
Year of publication: |
2022
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Authors: | Bäuerle, Nicole ; Glauer, Alexander |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 296.2022, 3 (1.2.), p. 953-966
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Subject: | Dynamic programming | Risk-sensitive Markov decision process | Risk measure | Robustness | Theorie | Theory | Entscheidung | Decision | Markov-Kette | Markov chain | Risiko | Risk | Risikomaß | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics |
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