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 programmingliquidity riskMarkov decision processnonnegative-valued multiplicative criterionthreshold probability

Mathematics Subject Classification ID

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

Review text

In the paper the problem of maximizing probabilities for given stage-wise targents is considered. The problem generalizes the standard threshold probability one in Markov decision processes. It is shown that the stated problem reduces to the case of a nonnegative-valued multiplicative criterion through an invariant imbedding technique. The authors derive a recursive formula for the optimal value function and an effective method for obtaining the optimal policies. The results of the paper can be used for business planning or portfolio trading strategies for avoiding business insolvency due to liquidity problems. An illustrative example is given.

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Cited in

(11)

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

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