CVaR Optimization for MDPs
Author:
Affiliation:
1. Stony Brook University, Stony Brook , NY, USA
2. Stony Brook University, Stony Brook, NY, USA
Abstract
Publisher
Association for Computing Machinery (ACM)
Subject
Computer Networks and Communications,Hardware and Architecture,Software
Link
https://dl.acm.org/doi/pdf/10.1145/3561074.3561088
Reference4 articles.
1. Chow , Y. , et al. , 2015 . Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach . NIPS 2015: 1522--1530 . Chow, Y., et al., 2015. Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach. NIPS 2015: 1522--1530.
2. Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals
3. Optimization of conditional value-at-risk
4. Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
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1. Discounted Non-Zero-Sum Stochastic Game Between Risk-Averse Players;SSRN Electronic Journal;2024
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