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We motivate and propose a new model for non-cooperative Markov game which considers the interactions of risk-aware players.
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Coherent measures of risk
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A unified analysis of value-function-based reinforcement-learning algorithms
Csaba Szepesvári and Michael L Littman · 1999
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The ode method for convergence of stochastic approximation and reinforcement learning
Vivek S Borkar and Sean P Meyn · 2000
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Nash equilibria in risk-sensitive dynamic games
M. B. Klompstra · 2000
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Stability of locally optimal solutions
Adam B Levy, Ren6 A Poliquin, and R Tyrrell Rockafellar · 2000
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Risk-averse user equilibrium traffic assignment: an application of game theory
Michael GH Bell and Chris Cassir · 2002
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Convex measures of risk and trading constraints
Hans Föllmer and Alexander Schied · 2002
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Using computer algebra to find nash equilibria
Ruchira S. Datta · 2003
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Nash q-learning for general-sum stochastic games
Junling Hu and Michael P Wellman · 2003
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Nash q-learning for general-sum stochastic games
Junling Hu and Michael P Wellman · 2003
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Stochastic Approximation and Recursive Algorithms and Applications
Harold J. Kushner and G.George Yin · 2003
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Stochastic games and stationary strategies
OJ Vrieze · 2003
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Learning rates for q-learning
Eyal Even-Dar and Yishay Mansour · 2004
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Stationary equilibria in stochastic games: structure, selection, and computation
P. Jean-Jacques Herings and Ronald J. A. P. Peeters · 2004
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An efficient stochastic approximation algorithm for stochastic saddle point problems
Arkadi Nemirovski and Reuven Rubinstein · 2005
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An efficient optimal-equilibrium algorithm for two-player game trees
Michael L Littman, Nishkam Ravi, Arjun Talwar, and Martin Zinkevich · 2012
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Risk-sensitive markov control processes
Yun Shen, Wilhelm Stannat, and Klaus Obermayer · 2013
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Computationally tractable counterparts of distributionally robust constraints on risk measures
Krzysztof Postek, Dick Den Hertog, and Bertrand Melenberg · 2015
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Robust strategy against unknown risk-averse attackers in security games
Yundi Qian, William B Haskell, and Milind Tambe · 2015
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Continuity of optimal solution functions and their conditions on objective functions
Yasushi Terazono and Ayumu Matani · 2015
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Robust game theory
Michele Aghassi and Dimitris Bertsimas · 2006
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Choice under uncertainty
Jonathan Levin · 2006
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Optimization of convex risk functions
Andrzej Ruszczynski and Alexander Shapiro · 2006
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Optimization of convex risk functions
Andrzej Ruszczyński and Alexander Shapiro · 2006
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The effects of risk preferences in mixed-strategy equilibria of 2 × \times 2 games
Dirk Engelmann and Jakub Steiner · 2007
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Stochastic approximation
Vivek S Borkar et al · 2008
Cited alongside, same era.
Mrinal K Ghosh, K Suresh Kumar, and Chandan Pal · 2016
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Statistical inference and hypotheses testing of risk averse stochastic programs
Vincent Guigues, Volker Krätschmer, and Alexander Shapiro · 2016
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Time and dynamic consistency of risk averse stochastic programs
Alexander Shapiro and Alois Pichler · 2016
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Measuring risk-aversion: The challenge
PJ Thomas · 2016
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Nonzero-sum risk-sensitive stochastic games on a countable state space
Arnab Basu and Mrinal K Ghosh · 2017
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Zero-sum risk-sensitive stochastic games
Nicole Bäuerle and Ulrich Rieder · 2017
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Multi-player approximate nash equilibria
Artur Czumaj, Michail Fasoulakis, and Marcin Jurdziński · 2017
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Risk-aware q-learning for Markov decision processes
W. Huang and W. B. Haskell · 2017
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Risk-averse approximate dynamic programming with quantile-based risk measures
Daniel R Jiang and Warren B Powell · 2017
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Dynamic risked equilibrium, 2018
Michael Ferris and Andy Philpott · 2018
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Stochastic approximation for risk-aware markov decision processes
Wenjie Huang and William B Haskell · 2018
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Incorporating risk preferences in stochastic noncooperative games
Victor Richmond R Jose and Jun Zhuang · 2018
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Approximate value iteration for risk-aware markov decision processes
Pengqian Yu, William B Haskell, and Huan Xu · 2018
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