Geodesic
Risk probability optimization problem for finite horizon continuous time Markov decision processes with loss rate
Kybernetika, Tome 57 (2021) no. 2, pp. 272-294.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

This paper presents a study the risk probability optimality for finite horizon continuous-time Markov decision process with loss rate and unbounded transition rates. Under drift condition, which is slightly weaker than the regular condition, as detailed in existing literature on the risk probability optimality Semi-Markov decision processes, we prove that the value function is the unique solution of the corresponding optimality equation, and demonstrate the existence of a risk probability optimization policy using an iteration technique. Furthermore, we provide verification of the imposed condition with two examples of controlled birth-and-death system and risk control, and further demonstrate that a value iteration algorithm can be used to calculate the value function and develop an optimal policy.
DOI : 10.14736/kyb-2021-2-0272
Classification : 60E20, 90C40
Keywords: continuous-time Markov decision processes; loss rate; risk probability criterion; finite horizon; optimal policy; unbounded transition rate 
@article{10_14736_kyb_2021_2_0272,
     author = {Huo, Haifeng and Wen, Xian},
     title = {Risk probability optimization problem for finite horizon continuous time {Markov} decision processes with loss rate},
     journal = {Kybernetika},
     pages = {272--294},
     publisher = {mathdoc},
     volume = {57},
     number = {2},
     year = {2021},
     doi = {10.14736/kyb-2021-2-0272},
     mrnumber = {4273576},
     zbl = {07396267},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.14736/kyb-2021-2-0272/}
}
TY  - JOUR
AU  - Huo, Haifeng
AU  - Wen, Xian
TI  - Risk probability optimization problem for finite horizon continuous time Markov decision processes with loss rate
JO  - Kybernetika
PY  - 2021
SP  - 272
EP  - 294
VL  - 57
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.14736/kyb-2021-2-0272/
DO  - 10.14736/kyb-2021-2-0272
LA  - en
ID  - 10_14736_kyb_2021_2_0272
ER  - 
%0 Journal Article
%A Huo, Haifeng
%A Wen, Xian
%T Risk probability optimization problem for finite horizon continuous time Markov decision processes with loss rate
%J Kybernetika
%D 2021
%P 272-294
%V 57
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.14736/kyb-2021-2-0272/
%R 10.14736/kyb-2021-2-0272
%G en
%F 10_14736_kyb_2021_2_0272
Huo, Haifeng; Wen, Xian. Risk probability optimization problem for finite horizon continuous time Markov decision processes with loss rate. Kybernetika, Tome 57 (2021) no. 2, pp. 272-294. doi : 10.14736/kyb-2021-2-0272. http://geodesic.mathdoc.fr/articles/10.14736/kyb-2021-2-0272/

Cité par Sources :