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

DOI10.1016/j.jmaa.2009.05.058zbMath1176.90625MaRDI QIDQ2272058

Xianping Guo, Yong-hui 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 time; risk probability; semi-Markov decision process; optimal policy

Mathematics Subject Classification ID

60K15: Markov renewal processes, semi-Markov processes

90C40: Markov and semi-Markov decision processes

Related Items

Constrained Markov decision processes with first passage criteria, Finite horizon semi-Markov decision processes with application to maintenance systems, Mean-variance problems for finite horizon semi-Markov decision processes, A minimization problem of the risk probability in first passage semi-Markov decision processes with loss rates, First Passage Optimality and Variance Minimisation of Markov Decision Processes with Varying Discount Factors, Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time

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