Conditional Value-at-Risk for Random Immediate Reward Variables in Markov Decision Processes

• 作者: Hiroe Tsubaki Koji Kanefuji Masayuki Kageyama Takayuki Fujii
• 来源期刊: 美国计算数学期刊(英文)
• 学科: 数学
• 关键词: Markov Decision Processes CONDITIONAL VALUE-AT-RISK Risk Optimal Policy INVENTORY Model
• 年，卷（期）: mgjssxqkyw_2011,（3）
• 页码范围: 183-188
• 页数: 6页
• 分类号: O21

摘要

We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced using conditional value-at-risk for random immediate reward variables in Markov decision processes, under whose risk measure criteria the risk-optimal policies are characterized by the optimality equations for the discounted or average case. As an application, the inventory models are considered.