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Constrained Risk-Sensitive Markov Decision Chains

BOOK CHAPTER published 2009 in Operations Research Proceedings 2008

Authors: Karel Sladký

https://doi.org/10.1007/978-3-642-00142-0_59 Actions

Risk-sensitive capacity control in revenue management

JOURNAL ARTICLE published June 2007 in Mathematical Methods of Operations Research

Authors: C. Barz | K. -H. Waldmann

https://doi.org/10.1007/s00186-006-0135-8 Actions

Risk sensitive portfolio optimization

JOURNAL ARTICLE published 14 December 1999 in Mathematical Methods of Operations Research (ZOR)

Authors: Lukasz Stettner

https://doi.org/10.1007/s001860050081 Actions

Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains

JOURNAL ARTICLE published February 2010 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena

https://doi.org/10.1007/s00186-009-0285-6 Actions

Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions

JOURNAL ARTICLE published April 1999 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena | Emmanuel Fernández-Gaucherand

https://doi.org/10.1007/pl00020919 Actions

Markov risk mappings and risk-sensitive optimal prediction

JOURNAL ARTICLE published February 2023 in Mathematical Methods of Operations Research

Research funded by Engineering and Physical Sciences Research Council (EP/P002625/1) | Lloyd’s Register Foundation (G0095) | Engineering and Physical Sciences Research Council (EP/R014604/1,EP/N013492/1)

Authors: Tomasz Kosmala | Randall Martyr | John Moriarty

https://doi.org/10.1007/s00186-022-00802-z Actions

Nearly optimal policies in risk-sensitive positive dynamic programming on discrete spaces

JOURNAL ARTICLE published 21 September 2000 in Mathematical Methods of Operations Research (ZOR)

Authors: Rolando Cavazos-Cadena | Raúl Montes-de-Oca

https://doi.org/10.1007/s001860000068 Actions

A model of a 2-player stopping game with priority and asynchronous observation

JOURNAL ARTICLE published 5 July 2007 in Mathematical Methods of Operations Research

Authors: D. M. Ramsey

https://doi.org/10.1007/s00186-006-0136-7 Actions

Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space

JOURNAL ARTICLE published 1 May 2003 in Mathematical Methods of Operations Research (ZOR)

Authors: Rolando Cavazos-Cadena

https://doi.org/10.1007/s001860200256 Actions

Long run risk sensitive portfolio with general factors

JOURNAL ARTICLE published April 2016 in Mathematical Methods of Operations Research

Research funded by NCN (DEC-2012/07/B/ST1/03298)

Authors: Marcin Pitera | Łukasz Stettner

https://doi.org/10.1007/s00186-015-0528-7 Actions

Risk sensitive impulse control of non-Markovian processes

JOURNAL ARTICLE published August 2011 in Mathematical Methods of Operations Research

Authors: Ibtissam Hdhiri | Monia Karouf

https://doi.org/10.1007/s00186-010-0338-x Actions

Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management

JOURNAL ARTICLE published 18 October 1999 in Mathematical Methods of Operations Research (ZOR)

Authors: Tomasz Bielecki | Daniel Hernández-Hernández | Stanley R. Pliska

https://doi.org/10.1007/s001860050094 Actions

Solutions of the average cost optimality equation for finite Markov decision chains: risk-sensitive and risk-neutral criteria

JOURNAL ARTICLE published December 2009 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena

https://doi.org/10.1007/s00186-008-0277-y Actions

Markov decision processes with risk-sensitive criteria: an overview

JOURNAL ARTICLE published April 2024 in Mathematical Methods of Operations Research

Authors: Nicole Bäuerle | Anna Jaśkiewicz

https://doi.org/10.1007/s00186-024-00857-0 Actions

Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion

JOURNAL ARTICLE published December 2016 in Mathematical Methods of Operations Research

Authors: Qingda Wei

https://doi.org/10.1007/s00186-016-0550-4 Actions

Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach

JOURNAL ARTICLE published 1 January 2003 in Mathematical Methods of Operations Research (ZOR)

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

https://doi.org/10.1007/s001860200229 Actions

Shortfall risk minimization under model uncertainty in the binomial case: adaptive and robust approaches

JOURNAL ARTICLE published 1 July 2001 in Mathematical Methods of Operations Research (ZOR)

Authors: Gino Favero

https://doi.org/10.1007/s001860100127 Actions

Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space

JOURNAL ARTICLE published April 2022 in Mathematical Methods of Operations Research

Authors: Subrata Golui | Chandan Pal

https://doi.org/10.1007/s00186-022-00779-9 Actions

Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes

JOURNAL ARTICLE published April 2021 in Mathematical Methods of Operations Research

Research funded by Fapesp (2014/50279-4,2014/50851-0) | Conselho Nacional de Desenvolvimento Científico e Tecnológico (304149/2019-5)

Authors: O. L. V. Costa | F. Dufour

https://doi.org/10.1007/s00186-020-00732-8 Actions

Discounted approximations in risk-sensitive average Markov cost chains with finite state space

JOURNAL ARTICLE published April 2020 in Mathematical Methods of Operations Research

Authors: Rubén Blancas-Rivera | Rolando Cavazos-Cadena | Hugo Cruz-Suárez

https://doi.org/10.1007/s00186-019-00689-3 Actions
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