The scalarization approach to multiobjective Markov control problems: \textit{Why} does it work?

DOI10.1007/S00245-004-0804-4MaRDI QIDQ1763074zbMATH OpenOpenAlexFDO

Authors Onésimo Hernández-Lerma, Rosario Romera

Publication date 21 February 2005

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-004-0804-4

zbMATH Keywords

linear programmingMarkov and semi-Markov decisionprocessesmultiobjective and goal programmingoptimal stochastic control

Mathematics Subject Classification ID

Linear programming (90C05) Multi-objective and goal programming (90C29) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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Cited in

(8)

• Neighbourhood search for constructing Pareto sets
• Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
• Constructing the Pareto front for multi-objective Markov chains handling a strong Pareto policy approach
• Computing multiobjective Markov chains handled by the extraproximal method
• Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
• Some advances on constrained Markov decision processes in Borel spaces with random state-dependent discount factors
• The dynamics of bargaining power in a principal-agent model
• A survey of recent results on continuous-time Markov decision processes (with comments and rejoinder)

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