Imagen de Portada

Distributionally Robust Markov Decision Processes and their Connection to Risk Measures

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Bäuerle, Nicole, Glauner, Alexander
Formato:	Preprint
Publicado:	2020
Materias:	Optimization and Control Risk Management 90C40 (Primary) 90C17, 91G70 (Secondary)
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Markov Decision Processes with Recursive Risk Measures
por: Bäuerle, Nicole, et al.
Publicado: (2020)

Minimizing Spectral Risk Measures Applied to Markov Decision Processes
por: Bäuerle, Nicole, et al.
Publicado: (2020)

MAD Risk Parity Portfolios
por: Ararat, Çağın, et al.
Publicado: (2021)

Robust Optimal Portfolio in a Mixture Setting with Partial Ambiguity
por: Shyamalkumar, N. D., et al.
Publicado: (2026)

On a Class of Optimal Reinsurance Problems
por: Shyamalkumar, N. D., et al.
Publicado: (2026)

Systemic values-at-risk and their sample-average approximations
por: AlAli, Wissam, et al.
Publicado: (2024)

Fair Risk Optimization of Distributed Systems
por: Almen, Aray, et al.
Publicado: (2025)

Don't Look Back in Anger: Wasserstein Distributionally Robust Optimization with Nonstationary Data
por: Keehan, Dominic S. T., et al.
Publicado: (2025)

Is Noisy Data a Blessing in Disguise? A Distributionally Robust Optimization Perspective
por: Hsieh, Chung-Han, et al.
Publicado: (2025)

Risk-Constrained Kelly for Mutually Exclusive Outcomes: CRRA Support Invariance and Logarithmic One-Dimensional Calibration
por: Long, Christopher D.
Publicado: (2026)

On Accelerating Large-Scale Robust Portfolio Optimization
por: Hsieh, Chung-Han, et al.
Publicado: (2024)

On Cost-Sensitive Distributionally Robust Log-Optimal Portfolio
por: Hsieh, Chung-Han, et al.
Publicado: (2024)

Optimal Parlay Wagering and Whitrow Asymptotics: A State-Price and Implicit-Cash Treatment
por: Long, Christopher D.
Publicado: (2026)

Single-Event Multinomial Full Kelly via Implicit State Positions
por: Long, Christopher D.
Publicado: (2026)

Assessing solution quality in risk-averse stochastic programs
por: van Beesten, E. Ruben, et al.
Publicado: (2024)

Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
por: Escobar-Anel, Marcos, et al.
Publicado: (2022)

Concave Certificates: Geometric Framework for Distributionally Robust Risk and Complexity Analysis
por: Chu, Hong T. M.
Publicado: (2026)

Decision-Making Frameworks for Network Resilience -- Managing and Mitigating Systemic (Cyber) Risk
por: Svindland, Gregor, et al.
Publicado: (2023)

A belief-state restless bandit model for treatment adherence: Whittle indexability via partial conservation laws
por: Niño-Mora, José, et al.
Publicado: (2026)

A parametric approach to the estimation of convex risk functionals based on Wasserstein distance
por: Nendel, Max, et al.
Publicado: (2022)

Exact Finite-Horizon Quantile Kelly for Repeated Multi-Outcome Events
por: Long, Christopher D.
Publicado: (2026)

Induced Stackelberg Equilibrium Seeking via Iterative Tikhonov Regularization
por: Cianchi, Silvia, et al.
Publicado: (2026)

Robust Utility Maximization with Intractable Claims under Distributional Ambiguity: A Random Distributionally Robust Optimization Approach
por: Guan, Guohui, et al.
Publicado: (2025)

Penalty-Free SDDP: Feasibility Cuts for Robust Multi-Stage Stochastic Optimization in Energy Planning
por: Freitas, Guilherme, et al.
Publicado: (2025)

Time-consistency in the mean-variance problem: A new perspective
por: Bäuerle, Nicole, et al.
Publicado: (2023)

Continuity of Filters for Discrete-Time Control Problems Defined by Explicit Equations
por: Feinberg, Eugene A., et al.
Publicado: (2023)

Decision-Making for Land Conservation: A Derivative-Free Optimization Framework with Nonlinear Inputs
por: Buhler, Cassidy K., et al.
Publicado: (2023)

Optimizing Flexibility in Power Systems by Maximizing the Region of Manageable Uncertainties
por: Zingler, Aron, et al.
Publicado: (2024)

On Computing and Pricing of Adjustable Robust Chemical Process Designs
por: Schwientek, Jan, et al.
Publicado: (2025)

Optimal routing and transmission strategies for UAV reconnaissance missions with detection threats
por: Badenbroek, Riley, et al.
Publicado: (2024)

Predict-then-Calibrate: A New Perspective of Robust Contextual LP
por: Sun, Chunlin, et al.
Publicado: (2023)

From Classical Optimization to Bayesian Integration: A Comprehensive Analysis of Systematic Portfolio Management
por: Verma, Ajay Kumar, et al.
Publicado: (2026)

Congestion and Penalization in Optimal Transport
por: Gallardo, Marcelo, et al.
Publicado: (2024)

Optimization of Closed-Loop Shallow Geothermal Systems Using Analytical Models
por: Heinzel, Oliver, et al.
Publicado: (2026)

Realized Local Volatility Surface
por: Ma, Yuming, et al.
Publicado: (2025)

Introducing Clause Cuts: Strong No-Good Cuts for MaxSAT Problems in Mixed Integer Linear Programming
por: Engelhardt, Max, et al.
Publicado: (2025)

Markov Decision Processes of the Third Kind: Learning Distributions by Policy Gradient Descent
por: Bäuerle, Nicole, et al.
Publicado: (2026)

A Structured Proximal Stochastic Variance Reduced Zeroth-order Algorithm
por: Rando, Marco, et al.
Publicado: (2025)

Continuous-time mean field Markov decision models
por: Bäuerle, Nicole, et al.
Publicado: (2023)

CHAP: A Hybrid GPU-CPU Heuristic for MIP
por: Tjusila, Gennesaret Kharistio, et al.
Publicado: (2026)