Kerem Ugurlu

Controlled Markov Chains with AVaR Criteria for Unbounded Costs

  • Kerem Ugurlu
    • Categories Applications - OR and Management Sciences Tags , ,

    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. To … Read more

    On the Coherent Risk Measure Representations in the Discrete Probability Spaces

  • Kerem Ugurlu
    • Categories Applications - OR and Management Sciences

    We give a complete characterization of both comonotone and not comonotone coherent risk measures in the discrete finite probability space, where each outcome is equally likely. To the best of our knowledge, this is the first work that characterizes and distinguishes comonotone and not comonotone coherent risk measures via a simplified AVaR representation in this … Read more