On the First Passage $g$-Mean-Variance Optimality for Discounted Continuous-Time Markov Decision Processes

DOI10.1137/140968872zbMath1322.90108OpenAlexW2182209928MaRDI QIDQ5254885

Yi Zhang, Xianping Guo, Xiangxiang Huang

Publication date: 10 June 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140968872

zbMATH Keywords

continuous-time Markov decision processesfirst passage \(g\)-mean-based variance minimizationfirst passage mean-optimalitystate-action-dependent discount factors

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (6)

Finite horizon continuous-time Markov decision processes with mean and variance criteria ⋮ Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces ⋮ Mean-variance optimization of discrete time discounted Markov decision processes ⋮ Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion ⋮ Variance minimization of parameterized Markov decision processes ⋮ Mean-semivariance optimality for continuous-time Markov decision processes

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