27 citations · 74 across the 5 of their papers we have counts for
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math.OC2020★ 18 cited
Minimizing Spectral Risk Measures Applied to Markov Decision Processes
Nicole Bäuerle, Alexander Glauner
We study the minimization of a spectral risk measure of the total discounted cost generated by a Markov Decision Process (MDP) over a finite or infinite planning horizon. The MDP i…
math.OC2020★ 27 cited
Markov Decision Processes with Recursive Risk Measures
Nicole Bäuerle, Alexander Glauner
In this paper, we consider risk-sensitive Markov Decision Processes (MDPs) with Borel state and action spaces and unbounded cost under both finite and infinite planning horizons. O…
math.OC2020★ 18 cited
Distributionally Robust Markov Decision Processes and their Connection to Risk Measures
Nicole Bäuerle, Alexander Glauner
We consider robust Markov Decision Processes with Borel state and action spaces, unbounded cost and finite time horizon. Our formulation leads to a Stackelberg game against nature.…