risk sensitivity – Optimization Online

Approximate solution of infinite-horizon risk-sensitive Markov decision processes

Published: 2026/07/15, Updated: 2026/08/21

Dynamic Programming, Other Topics Markov Decision Process, risk sensitivity, sequential decision making

Infinite-horizon risk-sensitive Markov decision processes (MDPs) under the discounted cost criterion are challenging to solve because the optimal policy may be nonstationary. Existing methods typically reformulate the problem as a continuous-state risk-neutral MDP and rely on state discretization or value-function approximation, often without explicit stopping conditions or error bounds. In this paper, we present approximate … Read more

Risk-Sensitive Variational Bayes: Formulations and Bounds

Published: 2019/05/10

Other Topics, Stochastic Programming risk sensitivity, stochastic programs, variational bayes

We study data-driven decision-making problems in a parametrized Bayesian framework. We adopt a risk-sensitive approach to modeling the interplay between statistical estimation of parameters and optimization, by computing a risk measure over a loss/disutility function with respect to the posterior distribution over the parameters. While this forms the standard Bayesian decision-theoretic approach, we focus on … Read more