Controlled Markov Decision Processes with AVaR Criteria for Unbounded Costs

  • Kerem Ugurlu
    • Categories Applications - OR and Management Sciences Tags , , Short URL: https://optimization-online.org/?p=14293

    In this paper, we consider the control problem with the Average-Value-at-Risk (AVaR) criteria of the possibly unbounded L 1 -costs in infinite horizon on a Markov Decision Process (MDP). With a suitable state aggregation and by choosing a priori a global variable s heuristically, we show that there exist optimal policies for the infinite horizon problem for possibly unbounded costs.

    Citation

    University of Washington, November/2016.

    Article

    Download

    View Controlled Markov Decision Processes with AVaR Criteria for Unbounded Costs