Continuous-time zero-sum games for markov decision processes with discounted risk-sensitive cost criterion on a general state space

Stochastic Analysis and Applications ◽

10.1080/07362994.2021.2013889 ◽

2021 ◽

pp. 1-31

Author(s):

Subrata Golui ◽

Chandan Pal

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

General State ◽

Zero Sum Games ◽

Cost Criterion ◽

Risk Sensitive ◽

Markov Decision ◽

General State Space ◽

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Continuous-Time Zero-Sum Games for Markov Decision Processes with Discounted Risk-Sensitive Cost Criterion

Dynamic Games and Applications ◽

10.1007/s13235-021-00391-2 ◽

2021 ◽

Author(s):

Subrata Golui ◽

Chandan Pal ◽

Subhamay Saha

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

Zero Sum Games ◽

Time Zero ◽

Cost Criterion ◽

Risk Sensitive ◽

Markov Decision ◽

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Continuous-time Markov decision processes under the risk-sensitive average cost criterion

Operations Research Letters ◽

10.1016/j.orl.2016.04.010 ◽

2016 ◽

Vol 44 (4) ◽

pp. 457-462 ◽

Author(s):

Qingda Wei ◽

Xian Chen

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Average Cost ◽

Decision Processes ◽

Average Cost Criterion ◽

Cost Criterion ◽

Risk Sensitive ◽

Markov Decision

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Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion

Mathematical Methods of Operations Research ◽

10.1007/s00186-016-0550-4 ◽

2016 ◽

Vol 84 (3) ◽

pp. 461-487 ◽

Author(s):

Qingda Wei

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

Finite Horizon ◽

Cost Criterion ◽

Risk Sensitive ◽

Markov Decision

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Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces

Discrete Event Dynamic Systems ◽

10.1007/s10626-019-00292-y ◽

2019 ◽

Vol 29 (4) ◽

pp. 445-471 ◽

Author(s):

Xianping Guo ◽

Junyu Zhang

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

Risk Sensitive ◽

Markov Decision

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A note on optimality conditions for continuous-time Markov decision processes with average cost criterion

IEEE Transactions on Automatic Control ◽

10.1109/9.975505 ◽

2001 ◽

Vol 46 (12) ◽

pp. 1984-1989 ◽

Author(s):

Xianping Guo ◽

Ke Liu

Keyword(s):

Optimality Conditions ◽

Markov Decision Processes ◽

Continuous Time ◽

Average Cost ◽

Decision Processes ◽

Average Cost Criterion ◽

Cost Criterion ◽

Markov Decision

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The policy iteration algorithm for average reward Markov decision processes with general state space

IEEE Transactions on Automatic Control ◽

10.1109/9.650016 ◽

1997 ◽

Vol 42 (12) ◽

pp. 1663-1680 ◽

Author(s):

S.P. Meyn

Keyword(s):

State Space ◽

Markov Decision Processes ◽

Policy Iteration ◽

Decision Processes ◽

Iteration Algorithm ◽

General State ◽

Average Reward ◽

Markov Decision ◽

Policy Iteration Algorithm ◽

General State Space

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Zero-sum games for continuous-time Markov jump processes with risk-sensitive finite-horizon cost criterion

Operations Research Letters ◽

10.1016/j.orl.2017.11.008 ◽

2018 ◽

Vol 46 (1) ◽

pp. 69-75 ◽

Author(s):

Qingda Wei

Keyword(s):

Continuous Time ◽

Finite Horizon ◽

Jump Processes ◽

Markov Jump ◽

Zero Sum Games ◽

Markov Jump Processes ◽

Cost Criterion ◽

Risk Sensitive ◽

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Continuous-time zero-sum games for Markov chains with risk-sensitive finite-horizon cost criterion

Stochastic Analysis and Applications ◽

10.1080/07362994.2021.1889381 ◽

2021 ◽

pp. 1-20

Author(s):

Subrata Golui ◽

Chandan Pal

Keyword(s):

Markov Chains ◽

Continuous Time ◽

Finite Horizon ◽

Zero Sum Games ◽

Time Zero ◽

Cost Criterion ◽

Risk Sensitive ◽

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Average cost criterion induced by the regular utility function for continuous-time Markov decision processes

Discrete Event Dynamic Systems ◽

10.1007/s10626-017-0237-x ◽

2017 ◽

Vol 27 (3) ◽

pp. 501-524 ◽

Author(s):

Qingda Wei ◽

Xian Chen

Keyword(s):

Utility Function ◽

Markov Decision Processes ◽

Continuous Time ◽

Average Cost ◽

Decision Processes ◽

Average Cost Criterion ◽

Cost Criterion ◽

Markov Decision

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Risk-sensitive average continuous-time Markov decision processes with unbounded rates

Optimization ◽

10.1080/02331934.2018.1547382 ◽

2018 ◽

Vol 68 (4) ◽

pp. 773-800

Author(s):

Qingda Wei ◽

Xian Chen

Keyword(s):

Markov Decision Processes ◽

Continuous Time ◽

Decision Processes ◽

Risk Sensitive ◽

Markov Decision

Download Full-text