Mean-variance optimality for semi-Markov decision processes under first passage criteria.

DOI10.14736/KYB-2017-1-0059MaRDI QIDQ5271024zbMATH OpenOpenAlexFDO

Authors Xiangxiang Huang, Yonghui Huang

Publication date 3 July 2017

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/146708

zbMATH Keywords

first passage timesemi-Markov decision processesminimal variancemean-variance optimal policyunbounded reward rate

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Markov and semi-Markov decision processes (90C40)

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Cited in

(9)

• A minimization problem of the risk probability in first passage semi-Markov decision processes with loss rates
• Mean-variance problems for finite horizon semi-Markov decision processes
• First Passage Exponential Optimality Problem for Semi-Markov Decision Processes
• First passage optimality and variance minimisation of Markov decision processes with varying discount factors
• First passage risk probability optimality for continuous time Markov decision processes
• Solutions of semi-Markov control models with recursive discount rates and approximation by \(\epsilon\)-optimal policies.
• Semi-Markov decision processes with variance minimization criterion
• Mean-semivariance optimality for continuous-time Markov decision processes
• On the first passage \(g\)-mean-variance optimality for discounted continuous-time Markov decision processes

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