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

DOI10.1016/J.JMAA.2009.05.058zbMATH Open1176.90625OpenAlexW2035033056MaRDI QIDQ2272058FDOQ2272058

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

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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)

Cites Work

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• Stochastic learning and optimization. A sensitivity-based approach.
• Constrained Optimization for Average Cost Continuous-Time Markov Decision Processes
• Continuous Time Discounted Jump Markov Decision Processes: A Discrete-Event Approach
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• First passage models for denumerable semi-Markov decision processes with nonnegative discounted costs
• Markov decision processes with distribution function criterion of first-passage time
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• Existence of Optimal Policies for Semi-Markov Decision Processes Using Duality for Infinite Linear Programming
• Average cost semi-markov decision processes
• 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

Cited In (19)

• Stochastic differential games with controlled regime-switching
• Title not available (Why is that?)
• 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
• 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
• Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria
• First Passage Exponential Optimality Problem for Semi-Markov Decision Processes
• First Passage Optimality and Variance Minimisation of Markov Decision Processes with Varying Discount Factors
• 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
• Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time
• Optimal threshold probability and expectation in semi-Markov decision processes
• Constrained Markov decision processes with first passage criteria
• 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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