A Convex Analytic Approach to Risk-Aware Markov Decision Processes

@article{Haskell2015ACA,
  title={A Convex Analytic Approach to Risk-Aware Markov Decision Processes},
  author={William B. Haskell and Rahul Jain},
  journal={SIAM J. Control and Optimization},
  year={2015},
  volume={53},
  pages={1569-1598}
}
Abstract. In classical Markov decision process (MDP) theory, we search for a policy that say, minimizes the expected infinite horizon discounted cost. Expectation is of course, a risk neutral measure, which does not su ce in many applications, particularly in finance. We replace the expectation with a general risk functional, and call such models risk-aware MDP models. We consider minimization of such risk functionals in two cases, the expected utility framework, and Conditional Value-at-Risk… CONTINUE READING
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