Optimal policy for minimizing risk models in Markov decision processes

DOI10.1016/S0022-247X(02)00097-5zbMath1019.91012OpenAlexW2071692771MaRDI QIDQ1849140

Yoshio Ohtsubo, Kenji Toyonaga

Publication date: 28 November 2002

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

Full work available at URL: https://doi.org/10.1016/s0022-247x(02)00097-5

zbMATH Keywords

decision makingMarkov decision processesoptimal policymaximal fixed pointminimizing risk model

Mathematics Subject Classification ID

Related Items (13)

Value iteration methods in risk minimizing stopping problems ⋮ Discrete time credibilistic processes: construction and convergences ⋮ First passage risk probability minimization for piecewise deterministic Markov decision processes ⋮ The risk probability criterion for discounted continuous-time Markov decision processes ⋮ Stochastic shortest path problems with associative accumulative criteria ⋮ Threshold probability of non-terminal type in finite horizon Markov decision processes ⋮ Optimal threshold probability in undiscounted Markov decision processes with a target set. ⋮ Markov decision processes associated with two threshold probability criteria ⋮ Optimal risk probability for first passage models in semi-Markov decision processes ⋮ Optimal threshold probability and expectation in semi-Markov decision processes ⋮ Markov decision processes with a target set for minimum criteria ⋮ Efficient algorithms for risk-sensitive Markov decision processes with limited budget ⋮ STOCHASTIC SEQUENTIAL ASSIGNMENT PROBLEM WITH THRESHOLD CRITERIA

Cites Work

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• Finite state Markovian decision processes
• Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
• Variance-Penalized Markov Decision Processes
• The variance of discounted Markov decision processes
• Percentile performance criteria for limiting average Markov decision processes

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