Displaying similar documents to “A complementarity approach for solving Leontief substitution systems and (generalized) Markov decision processes”

Identification of optimal policies in Markov decision processes

Karel Sladký (2010)

Kybernetika

Similarity:

In this note we focus attention on identifying optimal policies and on elimination suboptimal policies minimizing optimality criteria in discrete-time Markov decision processes with finite state space and compact action set. We present unified approach to value iteration algorithms that enables to generate lower and upper bounds on optimal values, as well as on the current policy. Using the modified value iterations it is possible to eliminate suboptimal actions and to identify an optimal...

Mean-variance optimality for semi-Markov decision processes under first passage criteria

Xiangxiang Huang, Yonghui Huang (2017)

Kybernetika

Similarity:

This paper deals with a first passage mean-variance problem for semi-Markov decision processes in Borel spaces. The goal is to minimize the variance of a total discounted reward up to the system's first entry to some target set, where the optimization is over a class of policies with a prescribed expected first passage reward. The reward rates are assumed to be possibly unbounded, while the discount factor may vary with states of the system and controls. We first develop some suitable...

Risk-sensitive average optimality in Markov decision processes

Karel Sladký (2018)

Kybernetika

Similarity:

In this note attention is focused on finding policies optimizing risk-sensitive optimality criteria in Markov decision chains. To this end we assume that the total reward generated by the Markov process is evaluated by an exponential utility function with a given risk-sensitive coefficient. The ratio of the first two moments depends on the value of the risk-sensitive coefficient; if the risk-sensitive coefficient is equal to zero we speak on risk-neutral models. Observe that the first...