Concepedia

Risk-sensitive Dynamic Programming

Risk-Sensitive Dynamic Programming is a dynamic programming framework that incorporates risk measures into the optimization of sequential decision-making under uncertainty, distinguishing itself from risk-neutral approaches by explicitly accounting for the variability and higher moments of cumulative rewards.

32

Publications

1.5K

Citations

70

Authors

49

Institutions

Publications per year

2017–2026

11

Parents

Publications

32

Risk-averse dynamic programming for Markov decision processes

Andrzej Ruszczyński · Mathematical Programming · 2010 · 432 citations

, , +13

Dynamic programming and mean-variance hedging

Jean‐Paul Laurent, Huy x EA n Pham · Finance and Stochastics · 1999 · 162 citations

, , +14

Risk‐Sensitive Control and an Optimal Investment Model

Wendell H. Fleming, Shuenn‐Jyi Sheu · Mathematical Finance · 2000 · 162 citations

, , +15

Risk-Sensitive Markov Control Processes

Yun Shen, Wilhelm Stannat, Klaus Obermayer · SIAM Journal on Control and Optimization · 2013 · 80 citations · Full text

, , +17

The dynamics of risk-sensitive allocations

Evan W. Anderson · Journal of Economic Theory · 2004 · 77 citations

, , +12

1–5 of 32

Authors

70

  1. CP
    Christian P. Traeger

    University of California, Berkeley, United States

    2 publications · 42 citations

    2

    h-index

  2. BC
    Benjamin Crost

    University of Colorado Denver, United States

    2 publications · 42 citations

    2

    h-index

  3. JL
    Jean‐Paul Laurent

    University of Mons, Belgium

    2 publications · 177 citations

    2

    h-index

  4. RC
    Rolando Cavazos–Cadena

    Universidad Autónoma Agraria Antonio Narro, Mexico

    2 publications · 28 citations

    2

    h-index

  5. SI
    Steven I. Marcus

    University of Maryland, College Park, United States

    2 publications · 37 citations

    2

    h-index

1–5 of 70

Institutions

49

  1. University of Maryland, College Park

    College Park, United States

    2 h-index

    5 publications

    92 citations

  2. Universidad Autónoma Agraria Antonio Narro

    Saltillo, Mexico

    2 h-index

    3 publications

    40 citations

  3. Sun Yat-sen University

    Guangzhou, China

    2 h-index

    2 publications

    44 citations

  4. Chinese Academy of Sciences

    Beijing, China

    1 h-index

    1 publications

    16 citations

  5. Bernstein Center for Computational Neuroscience Berlin

    Berlin, Germany

    1 h-index

    2 publications

    160 citations

  6. University of Science and Technology of China

    Hefei, China

    1 h-index

    1 publications

    17 citations

  7. Idaho National Laboratory

    Idaho Falls, United States

    1 h-index

    5 publications

    110 citations

  8. Science Oxford

    Oxford, United Kingdom

    1 h-index

    1 publications

    23 citations

1–8 of 49

Venues

  1. Mathematical Finance

    3 publications · 199 citations

    3

    h-index

  2. Annals of Operations Research

    2 publications · 56 citations

    2

    h-index

  3. Mathematical Programming

    2 publications · 458 citations

    2

    h-index

  4. Operations Research Letters

    2 publications · 43 citations

    2

    h-index

  5. Journal of the Operational Research Society

    OR · 2 publications · 29 citations

    2

    h-index

1–5