Threshold probability of non-terminal type in finite horizon Markov decision processes

DOI10.1016/J.JMAA.2011.08.006MaRDI QIDQ640993zbMATH OpenOpenAlexFDO

Authors Akifumi Kira, Takayuki Ueno, Toshiharu Fujita

Publication date 21 October 2011

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2011.08.006

zbMATH Keywords

dynamic programmingMarkov decision processliquidity risknonnegative-valued multiplicative criterionthreshold probability

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Markov and semi-Markov decision processes (90C40)

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Cites work

• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 3345411 (Why is no real title available?)
• Associative dynamic programs
• Mean, variance and probabilistic criteria in finite Markov decision processes: A review
• Minimising a threshold probability in discounted Markov decision processes
• Minimizing risk models in Markov decision processes with policies depending on target values
• On bidecision processes
• Optimal policy for minimizing risk models in Markov decision processes
• Optimal threshold probability in undiscounted Markov decision processes with a target set.
• Optimization models for the first arrival target distribution function in discrete time
• Percentile performance criteria for limiting average Markov decision processes
• STOCHASTIC OPTIMIZATION OF MULTIPLICATIVE FUNCTIONS WITH NEGATIVE VALUE
• Stochastic Target Hitting Time and the Problem of Early Retirement
• Target-level criterion in Markov decision processes
• The variance of discounted Markov decision processes
• Time consistent dynamic risk measures

Cited in

(10)

• scientific article; zbMATH DE number 2041503 (Why is no real title available?)
• Continuous-time zero-sum games with probability criterion
• Maximizing the probability of attaining a target prior to extinction
• Target-level criterion in Markov decision processes
• Markov decision processes associated with two threshold probability criteria
• Nonzero-sum stochastic games with probability criteria
• Optimal threshold probability and expectation in semi-Markov decision processes
• Zero-sum semi-Markov games with a probability criterion
• Optimal threshold probability in undiscounted Markov decision processes with a target set.
• Maximizing the conditional expected reward for reaching the goal

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