Risk-sensitive Markov decision processes with long-run CVaR criterion
Li Xia, Luyao Zhang, Peter W. Glynn
| Year of publication: |
2023
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|---|---|
| Authors: | Xia, Li ; Zhang, Luyao ; Glynn, Peter W. |
| Published in: |
Production and operations management : the flagship research journal of the Production and Operations Management Society. - London : Sage Publications, ISSN 1937-5956, ZDB-ID 2151364-8. - Vol. 32.2023, 12, p. 4049-4067
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| Subject: | Bellman local optimality equation | long-run CVaR | Markov decision process | risk-sensitive | sensitivity-based optimization | Markov-Kette | Markov chain | Theorie | Theory | Entscheidung | Decision | Mathematische Optimierung | Mathematical programming |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/poms.14077 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014441486