Bäuerle, Nicole; Glauner, Alexander - In: Mathematical Methods of Operations Research 94 (2021) 1, pp. 35-69
We study the minimization of a spectral risk measure of the total discounted cost generated by a Markov Decision Process (MDP) over a finite or infinite planning horizon. The MDP is assumed to have Borel state and action spaces and the cost function may be unbounded above. The optimization...