Minimizing Risk Models in Markov Decision Processes with Policies Depending on Target Values

Journal of Mathematical Analysis and Applications

Volumn 231, Issue 1, 1999, Pages 47-67

  Wu, Congbin ^a   Lin, Yuanlie ^a  

^a TSINGHUA UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0003052863     PISSN: 0022247X     EISSN: None     Source Type: Journal    
DOI: 10.1006/jmaa.1998.6203     Document Type: Article

References (7)

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2. White D. J. Mean, variance, and probabilistic criterion in finite Markov decision processes: A review. J. Optim. Theory Appl. 56:1988;1-29.
3. White D. J. Minimizing a threshold probability in discounted Markov decision processes. J. Math. Anal. Appl. 173:1993;634-646.
4. Sobel M. J. The variance of discounted Markov decision processes. J. Appl. Probab. 19:1982;794-802.
5. Chung K. J., Sobel M. J. Discounted MDP's: Distribution functions and exponential utility maximization. SIAM J. Contr. Optim. 25:1987;49-62.
6. Filar J. A., Krass D., Ross K. W. Percentile performance criteria for limiting average Markov decision processes. IEEE Trans. Automat. Contr. 40:1995;2-10.
7. Hernández-Lerma O. Adaptive Markov Control Processes. 1989;Springer-Verlag, New York.