Optimization models for the first arrival target distribution function in discrete time

DOI10.1006/jmaa.1998.6015zbMath0924.90133OpenAlexW2060110534MaRDI QIDQ1270930

Yuanlie Lin, Stella X. Yu, Pingfan Yan

Publication date: 3 November 1998

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

Full work available at URL: https://doi.org/10.1006/jmaa.1998.6015

zbMATH Keywords

optimality conditionsoptimal policiescountable state, countable action Markov decision processesfirst arrival target

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)

Related Items (13)

Constrained Markov decision processes with first passage criteria ⋮ A minimization problem of the risk probability in first passage semi-Markov decision processes with loss rates ⋮ First Passage Optimality and Variance Minimisation of Markov Decision Processes with Varying Discount Factors ⋮ First passage models for denumerable semi-Markov decision processes with nonnegative discounted costs ⋮ Multi-cost bounded tradeoff analysis in MDP ⋮ Threshold probability of non-terminal type in finite horizon Markov decision processes ⋮ A risk minimization problem for finite horizon semi-Markov decision processes with loss rates ⋮ Unnamed Item ⋮ Finite approximation of the first passage models for discrete-time Markov decision processes with varying discount factors ⋮ Time consistent dynamic risk measures ⋮ Efficient algorithms for risk-sensitive Markov decision processes with limited budget ⋮ First passage risk probability optimality for continuous time Markov decision processes ⋮ Stochastic optimization of forward recursive functions

Cites Work

• Percentiles and Markovian decision processes
• Aspects of risk theory
• Optimal models for the first arrival time distribution function in continuous time -- with a special case
• Mean, variance and probabilistic criteria in finite Markov decision processes: A review
• Target-level criterion in Markov decision processes
• Minimising a threshold probability in discounted Markov decision processes
• Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
• Technical Note—On the Stochastic Ordering of Markov Chains
• Percentile performance criteria for limiting average Markov decision processes
• Discrete Dynamic Programming
• Risk-Sensitive Markov Decision Processes
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