Optimal risk probability for first passage models in semi-Markov decision processes

DOI10.1016/J.JMAA.2009.05.058MaRDI QIDQ2272058zbMATH OpenOpenAlexFDO

Authors Xianping Guo, Yonghui Huang

Publication date 5 August 2009

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2009.05.058

zbMATH Keywords

first passage timesemi-Markov decision processoptimal policyrisk probability

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Markov and semi-Markov decision processes (90C40)

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Cites work

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• Constrained Optimization for Average Cost Continuous-Time Markov Decision Processes
• Continuous Time Discounted Jump Markov Decision Processes: A Discrete-Event Approach
• Existence of Optimal Policies for Semi-Markov Decision Processes Using Duality for Infinite Linear Programming
• First passage models for denumerable semi-Markov decision processes with nonnegative discounted costs
• Markov decision processes with distribution function criterion of first-passage time
• Minimizing risk models in Markov decision processes with policies depending on target values
• Optimal Control of Ergodic Continuous-Time Markov Chains with Average Sample-Path Rewards
• Optimal models for the first arrival time distribution function in continuous time -- with a special case
• Optimal policy for minimizing risk models in Markov decision processes
• Optimal threshold probability in undiscounted Markov decision processes with a target set.
• Semi-Markov Decision Processes with Unbounded Rewards
• Semi-Markov processes and reliability
• Stochastic learning and optimization. A sensitivity-based approach.

Cited in

(23)

• Stochastic differential games with controlled regime-switching
• scientific article; zbMATH DE number 1519423 (Why is no real title available?)
• Finite horizon semi-Markov decision processes with application to maintenance systems
• Equivalence classes for optimizing risk models in Markov decision processes.
• Optimal models with maximizing probability of first achieving target value in the preceding stages
• Risk probability optimization of finite horizon piecewise deterministic Markov decision processes
• First passage optimality and variance minimisation of Markov decision processes with varying discount factors
• First passage models for denumerable semi-Markov decision processes with nonnegative discounted costs
• Optimal threshold probability and policy iteration in semi-Markov decision processes
• First passage risk probability optimality for continuous time Markov decision processes
• Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
• Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria
• First Passage Exponential Optimality Problem for Semi-Markov Decision Processes
• A minimization problem of the risk probability in first passage semi-Markov decision processes with loss rates
• Mean-variance problems for finite horizon semi-Markov decision processes
• First passage risk probability minimization for piecewise deterministic Markov decision processes
• Minimum risk probability for finite horizon semi-Markov decision processes
• Optimal threshold probability and expectation in semi-Markov decision processes
• Constrained Markov decision processes with first passage criteria
• The risk probability optimal problem for infinite discounted semi-Markov decision processes.
• Modeling of semi-competing risks by means of first passage times of a stochastic process
• A Direct Approach to a First-Passage Problem with Applications in Risk Theory
• A risk minimization problem for finite horizon semi-Markov decision processes with loss rates

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