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 policiesmultiplicative Markov decision chainsnonnilpotent transition matrixpolicy improvement algorithm

Mathematics Subject Classification ID

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

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Cited in

(27)

• Asymptotic expansions for dynamic programming recursions with general nonnegative matrices
• The existence of good Markov strategies for decision processes with general payoffs
• Mean, variance and probabilistic criteria in finite Markov decision processes: A review
• A canonical form for pencils of matrices with applications to asymptotic linear programs
• Markov-achievable payoffs for finite-horizon decision models.
• Efficient algorithms for risk-sensitive Markov decision processes with limited budget
• The greedy strategy for optimizing the Perron eigenvalue
• The operator approach to entropy games
• Zero-sum risk-sensitive stochastic games on a countable state space
• Totally expanding multiplicative systems
• Markov branching decision chains with interest-rate-dependent rewards
• Multichain Markov Decision Processes with a Sample Path Constraint: A Decomposition Approach
• Optimality of Stationary Halting Policies and Finite Termination of Successive Approximations
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• Optimal halting policies in Markov population decision chains with constant risk posture
• A Markov chain choice problem
• Nonzero-sum risk-sensitive stochastic games on a countable state space
• Multitime scale markov decision processes
• scientific article; zbMATH DE number 7671227 (Why is no real title available?)
• On terminating Markov decision processes with a risk-averse objective function
• A probabilistic proof of the <scp>Perron–Frobenius</scp> theorem
• Markov decision processes with risk-sensitive criteria: an overview
• Universal complexity bounds based on value iteration for stochastic mean payoff games and entropy games
• Multiplicative processes reaching stationarity in finite time

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