Risk filtering and risk-averse control of Markovian systems subject to model uncertainty

We consider a Markov decision process subject to model uncertainty in a Bayesian framework, where we assume that the state process is observed but its law is unknown to the observer. In addition, while the state process and the controls are observed at time t , the actual cost that may depend on the...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Mathematical methods of operations research (Heidelberg, Germany) Germany), 2023-10, Vol.98 (2), p.231-268
Hauptverfasser:	Bielecki, Tomasz R., Cialenco, Igor, Ruszczyński, Andrzej
Format:	Artikel
Sprache:	eng
Schlagworte:	Bellman theory Business and Management Calculus of Variations and Optimal Control Optimization Dynamic programming Markov processes Mathematics Mathematics and Statistics Operations research Operations Research/Decision Theory Optimization Original Article Risk aversion Risk management Uncertainty
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!