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Risk‐Sensitive Markov Decision Processes with Combined Metrics of Mean and Variance

  • Published:2020-09 Issue:12 Volume:29 Page:2808-2827
  • ISSN:1059-1478
  • Container-title:Production and Operations Management
  • language:en
  • Short-container-title:Prod Oper Manag

Author:

Xia Li1ORCID

Affiliation:

1. Business School Sun Yat‐Sen University Guangzhou 510275 P R China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Management of Technology and Innovation,Industrial and Manufacturing Engineering,Management Science and Operations Research

Reference64 articles.

1. Sample mean based index policies by O(log n) regret for the multi-armed bandit problem

2. Coherent Measures of Risk

3. Using confidence bounds for exploitation‐exploration trade‐offs;Auer P.;J. Mach. Learn. Res.,2002

4. On measuring fairness in queues

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1. On Sampling Efficiency Optimization in Constrained Reinforcement Learning*;2024 IEEE International Conference on Advanced Intelligent Mechatronics (AIM);2024-07-15

2. Markov decision processes with risk-sensitive criteria: an overview;Mathematical Methods of Operations Research;2024-04

3. A unified algorithm framework for mean-variance optimization in discounted Markov decision processes;European Journal of Operational Research;2023-12

4. Approximate solutions to constrained risk-sensitive Markov decision processes;European Journal of Operational Research;2023-10

5. Risk‐sensitive Markov decision processes with long‐run CVaR criterion;Production and Operations Management;2023-09-27
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