Optimal halting policies in Markov population decision chains with constant risk posture

DOI10.1007/S10479-012-1302-3MaRDI QIDQ490217zbMATHOpenAlexFDO

Authors Pelin G. Canbolat

Publication date 22 January 2015

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-012-1302-3

zbMATH Keywords

dynamic programmingstochastic controlMarkov decision chainsconstant risk posturehalting policies

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Dynamic programming (90C39) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3623330 (Why is no real title available?)
• A Turnpike Theorem For A Risk-Sensitive Markov Decision Process with Stopping
• A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains
• A multi-product risk-averse newsvendor with exponential utility function
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• Index Policies for Stochastic Search in a Forest with an Application to R&D Project Management
• Maximizing Expected Utility for Stochastic Combinatorial Optimization Problems
• Multiplicative Markov Decision Chains
• Multivariate constant risk posture
• Optimality of Stationary Halting Policies and Finite Termination of Successive Approximations
• Portfolio selection in stochastic markets with exponential utility functions
• Proximal Decision Analysis
• Risk Aversion in the Small and in the Large
• Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
• Risk-Sensitive Markov Decision Processes
• Risk-Sensitive and Risk-Neutral Multiarmed Bandits
• The Value Iteration Algorithm in Risk-Sensitive Average Markov Decision Chains with Finite State Space
• Theory of games and economic behavior.

Cited in

(4)

• Maximum-stopping-value policies in finite Markov population decision chains
• Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
• Optimality of Stationary Halting Policies and Finite Termination of Successive Approximations
• Finite-horizon Markov population decision chains with constant risk posture

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