Multiplicative Markov Decision Chains

DOI10.1287/MOOR.9.1.6MaRDI QIDQ3320154zbMATH OpenOpenAlexFDO

Authors Uriel G. Rothblum

Publication date 1984

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.9.1.6

zbMATH Keywords

constructive proofexistence of optimal policiespolicy improvement algorithmmultiplicative Markov decision chainsnonnilpotent transition matrix

Mathematics Subject Classification ID

Dynamic programming (90C39) Dynamic programming in optimal control and differential games (49L20) Markov and semi-Markov decision processes (90C40)

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• Totally expanding multiplicative systems
• Efficient algorithms for risk-sensitive Markov decision processes with limited budget
• Nonzero-sum risk-sensitive stochastic games on a countable state space
• Optimal halting policies in Markov population decision chains with constant risk posture
• The existence of good Markov strategies for decision processes with general payoffs
• Mean, variance and probabilistic criteria in finite Markov decision processes: A review
• Zero-sum risk-sensitive stochastic games on a countable state space
• Multiplicative processes reaching stationarity in finite time
• On terminating Markov decision processes with a risk-averse objective function
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• The greedy strategy for optimizing the Perron eigenvalue
• Asymptotic expansions for dynamic programming recursions with general nonnegative matrices
• Markov-achievable payoffs for finite-horizon decision models.
• Markov decision processes with risk-sensitive criteria: an overview
• scientific article; zbMATH DE number 4118189 (Why is no real title available?)
• Multichain Markov Decision Processes with a Sample Path Constraint: A Decomposition Approach

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