## Risk aversion in finite Markov Decision Processes using total cost criteria and average value at risk

- Stefano Carpin, Yinlam Chow, Marco Pavone
- 2016 IEEE International Conference on Roboticsâ€¦
- 2016

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@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} }

- Published 2015 in SIAM J. Control and Optimization
DOI:10.1137/140969221

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-Riskâ€¦Â CONTINUE READING

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