First Passage Optimality and Variance Minimisation of Markov Decision Processes with Varying Discount Factors
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Publication:2949847
DOI10.1239/jap/1437658608zbMath1327.90374OpenAlexW1576632163MaRDI QIDQ2949847
Publication date: 2 October 2015
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1437658608
first passage optimalityvariance minimisationdiscrete-time Markov decision processunbounded rewardvarying discount factor
Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Continuous-time Markov processes on discrete state spaces (60J27)
Related Items (7)
Two-person zero-sum stochastic games with varying discount factors ⋮ Asymptotic optimality and rates of convergence of quantized stationary policies in continuous-time Markov decision processes ⋮ Finite approximation of the first passage models for discrete-time Markov decision processes with varying discount factors ⋮ Unnamed Item ⋮ Convergence of Markov decision processes with constraints and state-action dependent discount factors ⋮ First passage risk probability optimality for continuous time Markov decision processes ⋮ First passage Markov decision processes with constraints and varying discount factors
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