Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time
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Publication:3465235
DOI10.1137/140976029zbMath1334.90199OpenAlexW2269571484MaRDI QIDQ3465235
Publication date: 21 January 2016
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/140976029
average value-at-risksemi-Markov decision processesoptimal policyvalue iteration algorithmpolicy improvement algorithmfinite horizon cost
Monte Carlo methods (65C05) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)
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