Risk-Sensitive Markov Control Processes

@article{Shen2013RiskSensitiveMC,
  title={Risk-Sensitive Markov Control Processes},
  author={Yun Shen and Wilhelm Stannat and Klaus Obermayer},
  journal={SIAM J. Control and Optimization},
  year={2013},
  volume={51},
  pages={3652-3672}
}
We introduce a unified framework to incorporate risk in Markov decision processes (MDPs), via prospect maps, which generalize the idea of coherent/convex risk measures in mathematical finance. Most of the existing risk-sensitive approaches in various literature concerning with decision-making problems are contained in the framework as special instances. Within the framework, we solve the optimal control problems according to two criteria, the newly invented temporal discounted criterion, which… CONTINUE READING
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