48 citations · 357 across the 28 of their papers we have counts for
5 papers · 1 filter
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…
Stochastic dynamic programming with non-linear discounting
Nicole Bäuerle, Anna Jaśkiewicz, Andrzej S. Nowak
In this paper, we study a Markov decision process with a non-linear discount function and with a Borel state space. We define a recursive discounted utility, which resembles non-ad…
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…
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.…
Robust Optimal Investment and Reinsurance Problems with Learning
Nicole Bäuerle, Gregor Leimcke
In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple busines…