Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
From MaRDI portal
Publication:3754453
DOI10.1137/0325004zbMath0617.90085OpenAlexW1992154527MaRDI QIDQ3754453
Matthew J. Sobel, Kun-Jen Chung
Publication date: 1987
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0325004
Related Items (37)
Risk sensitive control of Markov processes in countable state space ⋮ A consumption and investment problem via a Markov decision processes approach with random horizon ⋮ Target-level criterion in Markov decision processes ⋮ Risk-sensitive dynamic market share attraction games ⋮ Markov Decision Problems Where Means Bound Variances ⋮ Zero-sum semi-Markov games with a probability criterion ⋮ Risk-averse dynamic programming for Markov decision processes ⋮ Risk-sensitive semi-Markov decision problems with discounted cost and general utilities ⋮ On risk-sensitive piecewise deterministic Markov decision processes ⋮ Optimizing a single-product production-inventory system under constant absolute risk aversion ⋮ Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis ⋮ Continuous-Time Markov Decision Processes with Exponential Utility ⋮ Unnamed Item ⋮ On solutions of the distributional Bellman equation ⋮ Unnamed Item ⋮ First Passage Exponential Optimality Problem for Semi-Markov Decision Processes ⋮ Controlled Markov decision processes with AVaR criteria for unbounded costs ⋮ A note on negative dynamic programming for risk-sensitive control ⋮ Stopped decision processes in conjunction with general utility ⋮ Discounted Markov decision processes with utility constraints ⋮ On terminating Markov decision processes with a risk-averse objective function ⋮ Exit time risk-sensitive control for systems of cooperative agents ⋮ Risk-sensitive dividend problems ⋮ Risk-sensitive control of continuous time Markov chains ⋮ Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria ⋮ Approximate Markov-Nash Equilibria for Discrete-Time Risk-Sensitive Mean-Field Games ⋮ Optimization models for the first arrival target distribution function in discrete time ⋮ A Differential Game for a Multiclass Queueing Model in the Moderate-Deviation Heavy-Traffic Regime ⋮ Minimizing risk models in Markov decision processes with policies depending on target values ⋮ Stochastic optimization of forward recursive functions ⋮ On the General Utility of Discounted Markov Decision Processes ⋮ An active-set strategy to solve Markov decision processes with good-deal risk measure ⋮ Optimal policy for minimizing risk models in Markov decision processes ⋮ Mean-variance criteria in an undiscounted Markov decision process ⋮ Maximal mean/standard deviation ratio in an undiscounted MDP ⋮ Algorithmic aspects of mean-variance optimization in Markov decision processes ⋮ Notes on average Markov decision processes with a minimum-variance criterion
This page was built for publication: Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
