An active-set strategy to solve Markov decision processes with good-deal risk measure

This paper proposes a quasi closed-form solution for the reweighting of transition probabilities in finite state, finite action distributionally robust Markov decision processes with good-deal risk measure. The relation to the expected (risk-neutral) and minimax (worst-case) discounted cumulated cost objectives is discussed, as well as possible methods for the choice of the risk measure parameters. Numerical results illustrate the computational effectiveness of the proposed approach.