Kavli Affiliate: Xian Chen| Summary: Value-at-Risk (VaR) is a widely adopted quantile-based risk measure in practice, yet incorporating VaR objectives into Markov decision processes (VaR MDPs) remains a longstanding challenge. Recent work has derived dynamic programming equations for VaR MDPs in finite state and action spaces but left the case of more general spaces unresolved. […]
Continue.. Dynamic Programming for Value-at-risk Markov Decision Processes in Continuous Spaces