Threshold probability of non-terminal type in finite horizon Markov decision processes
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.
nonnegative-valued multiplicative criterion
scientific article; zbMATH DE number 5960944