Risk-sensitive finite-horizon piecewise deterministic Markov decision processes
From MaRDI portal
Publication:2294536
DOI10.1016/j.orl.2019.05.001MaRDI QIDQ2294536
Xianping Guo, Zhaotong Lian, Yong-hui 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
finite horizon; HJB equation; unbounded transition rates; optimal policy; risk sensitive; piecewise deterministic Markov decision processes
90-XX: Operations research, mathematical programming