Risk-sensitive finite-horizon piecewise deterministic Markov decision processes

DOI10.1016/J.ORL.2019.05.001MaRDI QIDQ2294536zbMATH OpenOpenAlexWikidataFDO

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

finite horizonHJB equationoptimal policypiecewise deterministic Markov decision processesrisk sensitiveunbounded transition rates

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• 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
• scientific article; zbMATH DE number 1325008 (Why is no real title available?)
• 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 control of continuous time Markov chains
• Risk-sensitive ergodic control of continuous time Markov processes with denumerable state space
• Risk-Sensitive Markov Decision Processes

Cited in

(13)

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

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