Mean-semivariance optimality for continuous-time Markov decision processes

DOI10.1016/J.SYSCONLE.2019.02.001MaRDI QIDQ2328123zbMATH OpenOpenAlexFDO

Authors Qingda Wei

Publication date 9 October 2019

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2019.02.001

zbMATH Keywords

continuous-time Markov decision processesmean-semivarianceoptimal policiesvalue iteration

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

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Cites work

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• A NOTE ON SEMIVARIANCE
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• Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
• Continuous-time Markov decision processes. Theory and applications
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• Discounted continuous-time Markov decision processes with unbounded rates: the convex analytic approach
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• Lectures on Stochastic Programming
• Markov decision processes with applications to finance.
• On the first passage \(g\)-mean-variance optimality for discounted continuous-time Markov decision processes
• Risk-averse dynamic programming for Markov decision processes
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Cited in

(7)

• Finite horizon continuous-time Markov decision processes with mean and variance criteria
• Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
• Mean-Variance Criteria for Finite Continuous-Time Markov Decision Processes
• A mean-variance optimization problem for continuous-time Markov decision processes
• Mean-Semivariance Policy Optimization via Risk-Averse Reinforcement Learning
• A semimartingale characterization of average optimal stationary policies for Markov decision processes
• Mean-variance problems for finite horizon semi-Markov decision processes

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