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A Convex Analytic Approach to Risk-Aware Markov Decision Processes
9 references·3 citing·41 second hop
A Convex Analytic Approach to Risk-Aware Markov Decision Processes (2015)A Convex Analytic Approach to Risk-Aware …ON PROBABILISTIC CONSTRAINED PROGRAMMING (2015)ON PROBABILISTIC CONSTRAINED …Markov Decision Processes with Average-Value-at-Risk criteria (2011)Markov Decision Processes wit…Optimization with multivariate stochastic dominance constraints (2007)Optimization with multivariat…Optimization of Convex Risk Functions (2006)Optimization of Convex Risk F…Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints (2004)Optimality and duality theory…Optimization with Stochastic Dominance Constraints (2003)Optimization with Stochastic …Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…On law invariant coherent risk measures (2001)On law invariant coherent ris…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk (2018)Safety-Aware Optimal Control …Optimal Control of Conditional Value-at-Risk in Continuous Time (2017)Optimal Control of Conditiona…Robust MDPs with k-Rectangular Uncertainty (2016)Robust MDPs with k-Rectangula…Coherent Measures of Risk (1999)Coherent Risk Measures on General Probability Spaces (2002)Expected shortfall and beyond (2002)Higher order elicitability and Osband’s principle (2016)Frameworks and Results in Distributionally Robust Optimization (2022)Theory of Games and Economic Behavior (1945)Portfolio optimization with stochastic dominance constraints (2005)Introduction to Stochastic Programming (2011)Monte Carlo sampling-based methods for stochastic optimization (2014)The Simple Economics of Optimal Persuasion (2017)Theory of games and economic behavior (2019)Rules for Ordering Uncertain Prospects (1969)UTILITY THEORY FOR DECISION MAKING (1970)Utility Theory for Decision Making (1971)A Cutting-Surface Method for Uncertain Linear Programs with Polyhedral Stochastic Dominance Constraints (2009)Risk-adjusted budget allocation models with application in homeland security (2011)Optimization with Multivariate Conditional Value-at-Risk Constraints (2013)Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Conditional value-at-risk for general loss distributions (2002)On the coherence of expected shortfall (2002)Optimizing the CVaR via Sampling (2015)Sequential Decision Making With Coherent Risk (2016)Stochastic Programming (1995)New Formulations for Optimization under Stochastic Dominance Constraints (2008)Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse (2008)Sample average approximation of stochastic dominance constrained programs (2010)Methods of Measuring the Concentration of Wealth (1905)Analysis of stochastic dual dynamic programming method (2010)A unified framework for stochastic optimization (2018)Climate Risk and Financial Stability in the Network of Banks and Investment Funds (2019)Chance Constrained Programming with Joint Constraints (1965)Contributions to the theory of stochastic programming (1973)Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach (2011)A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support (2013)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Answerable and Unanswerable Questions in Risk Analysis with Open‐World Novelty (2020)The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors (2020)
this work references cited by second hop

References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2006Optimization of Convex Risk Functions474 cited
  • 2003Optimization with Stochastic Dominance Constraints369 cited
  • 2015ON PROBABILISTIC CONSTRAINED PROGRAMMING225 cited
  • 2011Markov Decision Processes with Average-Value-at-Risk criteria108 cited
  • 2004Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints105 cited
  • 2007Optimization with multivariate stochastic dominance constraints74 cited

Cited by

  • 2017Optimal Control of Conditional Value-at-Risk in Continuous Time61 cited
  • 2016Robust MDPs with k-Rectangular Uncertainty59 cited
  • 2018Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk54 cited

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