First Passage Exponential Optimality Problem for Semi-Markov Decision Processes

DOI10.1007/978-3-030-76928-4_2MaRDI QIDQ5153598zbMATH OpenOpenAlexFDO

Authors Haifeng Huo, Xian Wen

Publication date 30 September 2021

Published in Modern Trends in Controlled Stochastic Processes: (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-76928-4_2

zbMATH Keywords

exponential utilityfirst passage timeoptimal policyoptimality equationsemi-Markov decision processesvalue iterative approach

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(6)

• First passage models for denumerable semi-Markov decision processes with nonnegative discounted costs
• First Passage Optimality for Continuous-Time Markov Decision Processes With Varying Discount Factors and History-Dependent Policies
• The exponential cost optimality for finite horizon semi-Markov decision processes
• Mean-variance optimality for semi-Markov decision processes under first passage criteria.
• The exponential utility optimality for infinite horizon semi-Markov decision processes
• Risk-sensitive first passage stochastic games with unbounded costs

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