Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion

DOI10.1007/S10957-023-02179-3OpenAlexW4323306668MaRDI QIDQ2697007FDOQ2697007

Authors: Qingda Wei, Xian Chen 

Publication date: 17 April 2023

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-023-02179-3

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zbMATH Keywords

value iterationcontinuous-time Markov decision processesoptimal policiesrisk-sensitive first passage discounted cost criterion

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Markov and semi-Markov decision processes (90C40)

Cites Work

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Cited In (9)

• First passage models for denumerable semi-Markov decision processes with nonnegative discounted costs
• Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space
• The first arrival model of continuous time Markovian decision programming -- the discounted rate is 0
• Discrete-time Markov decision processes with first passage models
• Risk-sensitive semi-Markov decision problems with discounted cost and general utilities
• Continuous-time Markov decision processes under the risk-sensitive average cost criterion
• Average cost criterion induced by the regular utility function for continuous-time Markov decision processes
• Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
• First Passage Optimality for Continuous-Time Markov Decision Processes With Varying Discount Factors and History-Dependent Policies

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