A semismooth Newton framework for risk-averse MDPs produces three provably convergent solution methods and shows that risk-averse policy iteration is a semismooth Newton method.
Finite-Dimensional Variational Inequalities and Complementarity Problems, Vol
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Semismooth Newton Methods for Risk-Averse Markov Decision Processes
A semismooth Newton framework for risk-averse MDPs produces three provably convergent solution methods and shows that risk-averse policy iteration is a semismooth Newton method.