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Markov decision processes with recursive risk measures
Bäuerle, Nicole; Glauer, Alexander - In: European journal of operational research : EJOR 296 (2022) 3, pp. 953-966
Persistent link: https://www.econbiz.de/10013255611
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Risk neutral reformulation approach to risk averse stochastic programming
Liu, Rui Peng; Shapiro, Alexander - In: European journal of operational research : EJOR 286 (2020) 1, pp. 21-31
Persistent link: https://www.econbiz.de/10012239878
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Modeling time-dependent randomness in stochastic dual dynamic programming
Löhndorf, Nils; Shapiro, Alexander - In: European journal of operational research : EJOR 273 (2019) 2, pp. 650-661
Persistent link: https://www.econbiz.de/10011987574
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Time-inconsistent multistage stochastic programs : martingale bounds
Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163
Persistent link: https://www.econbiz.de/10011434903
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Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
Mahmutoğulları, Ali İrfan; Çavuş, Özlem; Aktürk, … - In: European journal of operational research : EJOR 266 (2018) 2, pp. 595-608
Persistent link: https://www.econbiz.de/10011811837
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Index policy for multiarmed bandit problem with dynamic risk measures
Malekipirbazari, Milad; Çavuş, Özlem - In: European journal of operational research : EJOR 312 (2024) 2, pp. 627-640
Persistent link: https://www.econbiz.de/10014456308
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Portfolio optimization with entropic value-at-risk
Ahmadi-Javid, Amir; Fallah-Tafti, Malihe - In: European journal of operational research : EJOR 279 (2019) 1, pp. 225-241
Persistent link: https://www.econbiz.de/10012102740
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Optimizing sequential decision-making under risk : strategic allocation with switching penalties
Malekipirbazari, Milad - In: European journal of operational research : EJOR 321 (2025) 1, pp. 160-176
Persistent link: https://www.econbiz.de/10015094944
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Partially observable Markov decision processes incorporating epistemic uncertainties
Faffoul, Rafic; Raphael, Wassim; Soubra, A.-H.; … - In: European journal of operational research : EJOR 241 (2015) 2, pp. 391-401
Persistent link: https://www.econbiz.de/10010486878
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A unified algorithm framework for mean-variance optimization in discounted Markov decision processes
Ma, Shuai; Ma, Xiaoteng; Xia, Li - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1057-1067
Persistent link: https://www.econbiz.de/10014440200