Percentile performance criteria for limiting average Markov decision processes

DOI10.1109/9.362904MaRDI QIDQ4763758zbMATH OpenOpenAlexFDO

Authors Dmitry Krass, Keith W. Ross, Jerzy Filar

Publication date 7 August 1995

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2328/26284

zbMATH Keywords

infinite-horizon Markov decision processeslong-run limiting average reward

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov and semi-Markov decision processes (90C40) Probabilistic games; gambling (91A60)

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Cited in

(24)

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• Minimizing risk models in Markov decision processes with policies depending on target values
• Optimal threshold probability in undiscounted Markov decision processes with a target set.
• Variance-constrained actor-critic algorithms for discounted and average reward MDPs
• Stochastic optimization of forward recursive functions
• Optimal policy for minimizing risk models in Markov decision processes
• Value iteration methods in risk minimizing stopping problems
• Efficient algorithms for risk-sensitive Markov decision processes with limited budget
• Time consistent dynamic risk measures
• STRONG AVERAGE OPTIMALITY FOR CONTROLLED NONHOMOGENEOUS MARKOV CHAINS^*
• Profit criteria involving risk in price setting of virtual products
• Percentile Optimization for Markov Decision Processes with Parameter Uncertainty
• Risk-constrained reinforcement learning with percentile risk criteria
• Quantile Markov Decision Processes
• Risk-Sensitive Reinforcement Learning via Policy Gradient Search
• Variance-penalized Markov decision processes: dynamic programming and reinforcement learning techniques
• Meet your expectations with guarantees: beyond worst-case synthesis in quantitative games
• Percentile queries in multi-dimensional Markov decision processes
• Percentile queries in multi-dimensional Markov decision processes
• Inventory models with minimal service level constraints
• Threshold probability of non-terminal type in finite horizon Markov decision processes
• Stochastic games with lexicographic objectives
• Stochastic games with disjunctions of multiple objectives
• Bayesian safe policy learning with chance constrained optimization: application to military security assessment during the Vietnam War

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