Open AccessConstrained Risk-Averse Markov Decision Processes
Author(s) -
Mohamadreza Ahmadi,
Ugo Rosolia,
Michel D. Ingham,
Richard M. Murray,
Aaron D. Ames
Publication year - 2021
Publication title -
proceedings of the aaai conference on artificial intelligence
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2374-3468
pISSN - 2159-5399
DOI - 10.1609/aaai.v35i13.17393
Subject(s) - cvar , markov decision process , mathematical optimization , convex optimization , computer science , stochastic programming , markov process , expected shortfall , lagrangian relaxation , markov chain , regular polygon , optimization problem , dynamic programming , risk measure , decision problem , linear programming , mathematics , risk management , algorithm , economics , statistics , geometry , management , machine learning , portfolio , financial economics
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