caa a22 4500 445839988 CHVBK 20180317145341.0 cr unu---uuuuu 170323e20111201xx s 000 0 eng 10.1007/s00186-011-0367-0 doi (NATIONALLICENCE)springer-10.1007/s00186-011-0367-0 Markov Decision Processes with Average-Value-at-Risk criteria [Elektronische Daten] [Nicole Bäuerle, Jonathan Ott] We investigate the problem of minimizing the Average-Value-at-Risk (AVaR τ ) of the discounted cost over a finite and an infinite horizon which is generated by a Markov Decision Process (MDP). We show that this problem can be reduced to an ordinary MDP with extended state space and give conditions under which an optimal policy exists. We also give a time-consistent interpretation of the AVaR τ . At the end we consider a numerical example which is a simple repeated casino game. It is used to discuss the influence of the risk aversion parameter τ of the AVaR τ -criterion. Springer-Verlag, 2011 Markov Decision Problem nationallicence Average-Value-at-Risk nationallicence Time-consistency nationallicence Risk aversion nationallicence Bäuerle Nicole Institute for Stochastics, Karlsruhe Institute of Technology, 76128, Karlsruhe, Germany aut Ott Jonathan Institute for Stochastics, Karlsruhe Institute of Technology, 76128, Karlsruhe, Germany aut Mathematical Methods of Operations Research Springer-Verlag 74/3(2011-12-01), 361-379 1432-2994 74:3<361 2011 74 186 https://doi.org/10.1007/s00186-011-0367-0 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00186-011-0367-0 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Bäuerle Nicole Institute for Stochastics, Karlsruhe Institute of Technology, 76128, Karlsruhe, Germany aut NATIONALLICENCE 700 1- Ott Jonathan Institute for Stochastics, Karlsruhe Institute of Technology, 76128, Karlsruhe, Germany aut NATIONALLICENCE 773 0- Mathematical Methods of Operations Research Springer-Verlag 74/3(2011-12-01), 361-379 1432-2994 74:3<361 2011 74 186 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer