Risk-sensitive finite-horizon piecewise deterministic Markov decision processes

DOI10.1016/J.ORL.2019.05.001MaRDI QIDQ2294536OpenAlexWikidataFDO

Authors Zhaotong Lian, Xianping Guo, Yonghui Huang

Publication date 11 February 2020

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2019.05.001

zbMATH Keywords

HJB equationunbounded transition ratesfinite horizonoptimal policyrisk sensitivepiecewise deterministic Markov decision processes

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• scientific article; zbMATH DE number 1325008 (Why is no real title available?)
• Average continuous control of piecewise deterministic Markov processes
• Constrained and unconstrained optimal discounted control of piecewise deterministic Markov processes
• Continuous-time Markov decision processes with exponential utility
• Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
• Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
• Finite-horizon piecewise deterministic Markov decision processes with unbounded transition rates
• Infinite horizon optimal impulsive control with applications to Internet congestion control
• Markov decision processes with applications to finance.
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• Risk-Sensitive Markov Decision Processes
• Risk-sensitive control of continuous time Markov chains
• Risk-sensitive ergodic control of continuous time Markov processes with denumerable state space

Cited in

(10)

• Poisoning finite-horizon Markov decision processes at design time
• Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes
• Partially Observable Risk-Sensitive Markov Decision Processes
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• First passage risk probability minimization for piecewise deterministic Markov decision processes
• Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates
• On risk-sensitive piecewise deterministic Markov decision processes
• Markov decision processes with risk-sensitive criteria: an overview
• Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures
• Risk-averse dynamic programming for Markov decision processes

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