Risk-Averse Control of Undiscounted Transient Markov Models
暂无分享,去创建一个
[1] Johannes Leitner. A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES , 2005 .
[2] S. C. Jaquette. A Utility Criterion for Markov Decision Processes , 1976 .
[3] A. Ruszczynski,et al. Optimization of Risk Measures , 2006 .
[4] Manfred SchÄl,et al. Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal , 1975 .
[5] Jeffrey P. Kharoufeh,et al. Monotone optimal replacement policies for a Markovian deteriorating system in a controllable environment , 2010, Oper. Res. Lett..
[6] Laurent El Ghaoui,et al. Robust Control of Markov Decision Processes with Uncertain Transition Matrices , 2005, Oper. Res..
[7] Wlodzimierz Ogryczak,et al. On consistency of stochastic dominance and mean–semideviation models , 2001, Math. Program..
[8] R. Howard,et al. Risk-Sensitive Markov Decision Processes , 1972 .
[9] John N. Tsitsiklis,et al. An Analysis of Stochastic Shortest Path Problems , 1991, Math. Oper. Res..
[10] Joanna L. Y. Ho,et al. Hope: An empirical study of attitude toward the timing of uncertainty resolution , 1994 .
[11] F. Delbaen,et al. Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes , 2004, math/0410453.
[12] U. Rieder,et al. Markov Decision Processes with Applications to Finance , 2011 .
[13] A. S. Manne. Linear Programming and Sequential Decisions , 1960 .
[14] Ronald A. Howard,et al. Dynamic Programming and Markov Processes , 1960 .
[15] Alexander Shapiro,et al. Conditional Risk Mappings , 2005, Math. Oper. Res..
[16] Alexander Shapiro,et al. Optimization of Convex Risk Functions , 2006, Math. Oper. Res..
[17] L. Breuer. Introduction to Stochastic Processes , 2022, Statistical Methods for Climate Scientists.
[18] Stanley R. Pliska. ON THE TRANSIENT CASE FOR MARKOV DECISION CHAINS WITH GENERAL STATE SPACES , 1978 .
[19] D. Klatte. Nonsmooth equations in optimization , 2002 .
[20] O. Hernández-Lerma,et al. Further topics on discrete-time Markov control processes , 1999 .
[21] M. Frittelli,et al. RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES , 2006 .
[22] Andrzej Ruszczynski,et al. Risk-averse dynamic programming for Markov decision processes , 2010, Math. Program..
[23] Wlodzimierz Ogryczak,et al. From stochastic dominance to mean-risk models: Semideviations as risk measures , 1999, Eur. J. Oper. Res..
[24] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[25] Uriel G. Rothblum,et al. Optimal stopping, exponential utility, and linear programming , 1979, Math. Program..
[26] Wlodzimierz Ogryczak,et al. Dual Stochastic Dominance and Related Mean-Risk Models , 2002, SIAM J. Optim..
[27] O. Hernández-Lerma,et al. Discrete-time Markov control processes , 1999 .
[28] Anna Jaskiewicz,et al. Stochastic Games with Unbounded Payoffs: Applications to Robust Control in Economics , 2011, Dyn. Games Appl..
[29] Helena Jasiulewicz. Application of mixture models to approximation of age-at-death distribution , 1997 .
[30] L. C. M. Kallenberg,et al. Linear programming and finite Markovian control problems , 1984 .
[31] Charles S. Tapiero,et al. A Mean Variance Approach to the Optimal Machine Maintenance and Replacement Problem , 1979 .
[32] Yoshio Ohtsubo,et al. Optimal threshold probability in undiscounted Markov decision processes with a target set , 2004, Appl. Math. Comput..
[33] Andrew J. Schaefer,et al. The Optimal Timing of Living-Donor Liver Transplantation , 2004, Manag. Sci..
[34] M. Teboulle,et al. AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT , 2007 .
[35] Jonathan Eckstein,et al. YASAI: Yet Another Add-in for Teaching Elementary Monte Carlo Simulation in Excel , 2002 .
[36] G. Pflug,et al. Modeling, Measuring and Managing Risk , 2008 .
[37] Martin L. Puterman,et al. Markov Decision Processes: Discrete Stochastic Dynamic Programming , 1994 .
[38] A. Shwartz,et al. Handbook of Markov decision processes : methods and applications , 2002 .
[39] David Heath,et al. Coherent multiperiod risk adjusted values and Bellman’s principle , 2007, Ann. Oper. Res..
[40] Erhan Çinlar,et al. Introduction to stochastic processes , 1974 .
[41] Susanne Klöppel,et al. DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES , 2007 .
[42] John N. Tsitsiklis,et al. Mean-Variance Optimization in Markov Decision Processes , 2011, ICML.
[43] D. J. White,et al. A Survey of Applications of Markov Decision Processes , 1993 .
[44] D. D. Sworder,et al. Minimax Control of Discrete Time Stochastic Systems , 1964 .
[45] Stephen D. Patek,et al. On terminating Markov decision processes with a risk-averse objective function , 2001, Autom..
[46] Dimitri P. Bertsekas,et al. Stochastic optimal control : the discrete time case , 2007 .
[47] Yoshio Ohtsubo. Minimizing risk models in stochastic shortest path problems , 2003, Math. Methods Oper. Res..
[48] S. T. Buckland,et al. An Introduction to the Bootstrap. , 1994 .
[49] Onésimo Hernández-Lerma,et al. Controlled Markov Processes , 1965 .
[50] Steven D. Levitt,et al. On Modeling Risk in Markov Decision Processes , 2001 .
[51] Y. Nie,et al. Shortest path problem considering on-time arrival probability , 2009 .
[52] Lodewijk C. M. Kallenberg. Survey of linear programming for standard and nonstandard Markovian control problems. Part II: Applications , 1994, Math. Methods Oper. Res..
[53] R. Rockafellar,et al. Conditional Value-at-Risk for General Loss Distributions , 2001 .
[54] Lyn C. Thomas,et al. Modelling the profitability of credit cards by Markov decision processes , 2011, Eur. J. Oper. Res..
[55] R. Bellman. Dynamic programming. , 1957, Science.
[56] Stella X. Yu,et al. Optimization Models for the First Arrival Target Distribution Function in Discrete Time , 1998 .
[57] E. Denardo. On Linear Programming in a Markov Decision Problem , 1970 .
[58] A. F. Veinott. Discrete Dynamic Programming with Sensitive Discount Optimality Criteria , 1969 .
[59] Frank Riedel,et al. Dynamic Coherent Risk Measures , 2003 .
[60] R. Tyrrell Rockafellar. Conjugate Duality and Optimization , 1974 .
[61] J. Wessels. Markov programming by successive approximations by respect to weighted supremum norms , 1976, Advances in Applied Probability.
[62] Bastian Goldlücke,et al. Variational Analysis , 2014, Computer Vision, A Reference Guide.