The risk probability criterion for discounted continuous-time Markov decision processes

DOI10.1007/s10626-017-0257-6zbMath1386.93308OpenAlexW2742269560MaRDI QIDQ1686855

Xianping Guo, Hai-Feng Huo, XiaoLong Zou

Publication date: 18 December 2017

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10626-017-0257-6

zbMATH Keywords

value iterationoptimal policycontinuous-time Markov decision processesoptimality equationrisk probability criterion

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (12)

First passage risk probability minimization for piecewise deterministic Markov decision processes ⋮ Zero-sum semi-Markov games with a probability criterion ⋮ Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces ⋮ Optimal dividend problems with a risk probability criterion ⋮ Mean-variance optimization of discrete time discounted Markov decision processes ⋮ On a discrete Markov-modulated risk model with random premium income and delayed claims ⋮ Unnamed Item ⋮ First Passage Exponential Optimality Problem for Semi-Markov Decision Processes ⋮ Variance minimization of parameterized Markov decision processes ⋮ Continuous-time zero-sum games with probability criterion ⋮ First passage risk probability optimality for continuous time Markov decision processes ⋮ Nonzero-sum stochastic games with probability criteria

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Parameterized Markov decision process and its application to service rate control
• Markov decision processes with applications to finance.
• Stochastic control via direct comparison
• Performance analysis for controlled semi-Markov systems with application to maintenance
• A unified approach to Markov decision problems and performance sensitivity analysis with discounted and average criteria: multichain cases
• A minimization problem of the risk probability in first passage semi-Markov decision processes with loss rates
• Continuous-time Markov decision processes. Theory and applications
• Stochastic optimal control. The discrete time case
• Continuous-time Markov chains. An applications-oriented approach
• Minimizing risk models in Markov decision processes with policies depending on target values
• Minimizing risk models in stochastic shortest path problems
• Optimal policy for minimizing risk models in Markov decision processes
• Target-level criterion in Markov decision processes
• Minimum risk probability for finite horizon semi-Markov decision processes
• A basic formula for performance gradient estimation of semi-Markov decision processes
• Minimising a threshold probability in discounted Markov decision processes
• Finite-horizon optimality for continuous-time Markov decision processes with unbounded transition rates
• Linear Programming and Constrained Average Optimality for General Continuous-Time Markov Decision Processes in History-Dependent Policies
• Discounted Continuous-Time Markov Decision Processes with Unbounded Rates: The Convex Analytic Approach
• Simulating Sensitivities of Conditional Value at Risk
• Discounted Continuous-Time Markov Decision Processes with Constraints: Unbounded Transition and Loss Rates
• Semi-Markov Risk Models for Finance, Insurance and Reliability
• Reduction of Discounted Continuous-Time MDPs with Unbounded Jump and Reward Rates to Discrete-Time Total-Reward MDPs
• The variance of discounted Markov decision processes
• Discounted Continuous-Time Controlled Markov Chains: Convergence of Control Models
• Markov decision processes associated with two threshold probability criteria
• Continuous-Time Markov Decision Processes with Discounted Rewards: The Case of Polish Spaces

This page was built for publication: The risk probability criterion for discounted continuous-time Markov decision processes