More Risk-Sensitive Markov Decision Processes

Erstveröffentlichung
2014
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Wissenschaftlicher Artikel


Authors
Baeuerle, Nicole
Rieder, Ulrich
Faculties
Fakultät für Mathematik und Wirtschaftswissenschaften
Institutions
Institut für Optimierung und Operations Research
Published in
Mathematics of Operations Research [English] ; 39 (2014), 1. - S. 105-120. - ISSN 0364-765X. - eISSN 1526-5471
Link to publication
https://dx.doi.org/10.1287/moor.2013.0601
Keywords
Markov decision problem; certainty equivalent; positive homogeneous utility; exponential utility; value iteration; policy improvement; risk-sensitive average cost; DISCRETE-TIME; UTILITY; STATE; OPTIMIZATION; MANAGEMENT; OPTIMALITY; CRITERION; POLICIES; HORIZON; CHAINS
Dewey Decimal Group
DDC 510 / Mathematics
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