Risk measurement and risk-averse control of partially observable discrete-time Markov systems
Risk measurement and risk-averse control of partially observable discrete-time Markov systems
复制标题
部分可观测离散时间马尔可夫系统的风险测量和风险规避控制
DOI：
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发表时间：
2018
影响因子：
1.2
通讯作者：
A. Ruszczynski
中科院分区：
文献类型：
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作者：
Jingnan Fan;A. Ruszczynski
考虑离散时间受控部分可观测马尔可夫过程的风险度量。我们引入了一个新的概念，条件随机时间一致性，我们得到的结构的风险措施享有这一财产。我们证明了它们可以表示为状态的可观测部分的函数空间上的静态律不变风险测度的集合。我们还推导了相应的动态规划方程。最后，我们说明了机器退化问题的结果。
We consider risk measurement in controlled partially observable Markov processes in discrete time. We introduce a new concept of conditional stochastic time consistency and we derive the structure of risk measures enjoying this property. We prove that they can be represented by a collection of static law invariant risk measures on the space of function of the observable part of the state. We also derive the corresponding dynamic programming equations. Finally we illustrate the results on a machine deterioration problem.