Discounted MDP’s: Distribution Functions and Exponential Utility Maximization

DOI10.1137/0325004zbMATH Open0617.90085OpenAlexW1992154527MaRDI QIDQ3754453FDOQ3754453

Authors: 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

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• scientific article; zbMATH DE number 700091

zbMATH Keywords

fixed pointdiscrete-time Markov process

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Cited In (40)

• On the General Utility of Discounted Markov Decision Processes
• Approximate Markov-Nash Equilibria for Discrete-Time Risk-Sensitive Mean-Field Games
• Maximal mean/standard deviation ratio in an undiscounted MDP
• Algorithmic aspects of mean-variance optimization in Markov decision processes
• An active-set strategy to solve Markov decision processes with good-deal risk measure
• Non-zero-sum stochastic games with recursive utilities of risk-sensitive players
• Notes on average Markov decision processes with a minimum-variance criterion
• Continuous-Time Markov Decision Processes with Exponential Utility
• On solutions of the distributional Bellman equation
• Markov decision processes with exponentially representable discounting
• Risk-sensitive dynamic market share attraction games
• Stopped decision processes in conjunction with general utility
• Markov Decision Problems Where Means Bound Variances
• Risk-sensitive dividend problems
• Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria
• Target-level criterion in Markov decision processes
• Risk sensitive control of Markov processes in countable state space
• Risk-averse dynamic programming for Markov decision processes
• First Passage Exponential Optimality Problem for Semi-Markov Decision Processes
• Stochastic optimization of forward recursive functions
• A consumption and investment problem via a Markov decision processes approach with random horizon
• Exit time risk-sensitive control for systems of cooperative agents
• Risk-sensitive semi-Markov decision problems with discounted cost and general utilities
• Optimizing a single-product production-inventory system under constant absolute risk aversion
• Minimizing risk models in Markov decision processes with policies depending on target values
• A differential game for a multiclass queueing model in the moderate-deviation heavy-traffic regime
• Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis
• Optimal policy for minimizing risk models in Markov decision processes
• Mean-variance criteria in an undiscounted Markov decision process
• On risk-sensitive piecewise deterministic Markov decision processes
• Zero-sum semi-Markov games with a probability criterion
• On terminating Markov decision processes with a risk-averse objective function
• Title not available (Why is that?)
• A note on negative dynamic programming for risk-sensitive control
• Markov decision processes with risk-sensitive criteria: an overview
• Controlled Markov decision processes with AVaR criteria for unbounded costs
• Title not available (Why is that?)
• Risk-sensitive control of continuous time Markov chains
• Discounted Markov decision processes with utility constraints
• Optimization models for the first arrival target distribution function in discrete time

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