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On the First Passage $g$-Mean-Variance Optimality for Discounted Continuous-Time Markov Decision Processes

JOURNAL ARTICLE published January 2015 in SIAM Journal on Control and Optimization

Authors: Xianping Guo | Xiangxiang Huang | Yi Zhang

https://doi.org/10.1137/140968872 Actions

Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes

JOURNAL ARTICLE published 28 February 2023 in SIAM Journal on Control and Optimization

Research funded by National Natural Science Foundation of China (12271454) | National Natural Science Foundation of China (12171170) | Natural Science Foundation of Fujian Province (2021J01308)

Authors: Xian Chen | Qingda Wei

https://doi.org/10.1137/22m1476757 Actions

Risk-Sensitive Markov Control Processes

JOURNAL ARTICLE published January 2013 in SIAM Journal on Control and Optimization

Authors: Yun Shen | Wilhelm Stannat | Klaus Obermayer

https://doi.org/10.1137/120899005 Actions

Risk-Sensitive Discounted Continuous-Time Markov Decision Processes with Unbounded Rates

JOURNAL ARTICLE published January 2019 in SIAM Journal on Control and Optimization

Research funded by National Natural Science Foundation of China (61773411,11701588)

Authors: Xianping Guo | Zhong-Wei Liao

https://doi.org/10.1137/18m1222016 Actions

Sample-Path Optimality and Variance-Minimization of Average Cost Markov Control Processes

JOURNAL ARTICLE published January 1999 in SIAM Journal on Control and Optimization

Authors: Onésimo Hernández-Lerma | Oscar Vega-Amaya | Guadalupe Carrasco

https://doi.org/10.1137/s0363012998340673 Actions

Blackwell Optimality in Borelian Continuous-in-Action Markov Decision Processes

JOURNAL ARTICLE published November 1997 in SIAM Journal on Control and Optimization

Authors: Alexander A. Yushkevich

https://doi.org/10.1137/s0363012995292469 Actions

Average Cost Optimality Inequality for Markov Decision Processes with Borel Spaces and Universally Measurable Policies

JOURNAL ARTICLE published January 2020 in SIAM Journal on Control and Optimization

Authors: Huizhen Yu

https://doi.org/10.1137/19m1239507 Actions

Linear Programming and Constrained Average Optimality for General Continuous-Time Markov Decision Processes in History-Dependent Policies

JOURNAL ARTICLE published January 2012 in SIAM Journal on Control and Optimization

Authors: Xianping Guo | Yonghui Huang | Xinyuan Song

https://doi.org/10.1137/100805169 Actions

Stochastic Dominance-Constrained Markov Decision Processes

JOURNAL ARTICLE published January 2013 in SIAM Journal on Control and Optimization

Authors: William B. Haskell | Rahul Jain

https://doi.org/10.1137/120874679 Actions

Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time

JOURNAL ARTICLE published January 2016 in SIAM Journal on Optimization

Authors: Yonghui Huang | Xianping Guo

https://doi.org/10.1137/140976029 Actions

Markov Decision Processes: Discrete Stochastic Dynamic Programming (Martin L. Puterman)

JOURNAL ARTICLE published December 1996 in SIAM Review

Authors: A. Feinberg

https://doi.org/10.1137/1038137 Actions

Variance Reduced Value Iteration and Faster Algorithms for Solving Markov Decision Processes

BOOK CHAPTER published January 2018 in Proceedings of the Twenty-Ninth Annual ACM-SIAM Symposium on Discrete Algorithms

Authors: Aaron Sidford | Mengdi Wang | Xian Wu | Yinyu Ye

https://doi.org/10.1137/1.9781611975031.50 Actions

Reversible Markov Decision Processes with an Average-Reward Criterion

JOURNAL ARTICLE published January 2013 in SIAM Journal on Control and Optimization

Authors: Randy Cogill | Cheng Peng

https://doi.org/10.1137/110844957 Actions

Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon

JOURNAL ARTICLE published January 1999 in SIAM Journal on Control and Optimization

Authors: G. B. Di Masi | L. Stettner

https://doi.org/10.1137/s0363012997320614 Actions

Normalized Markov Decision Chains. II: Optimality of Nonstationary Policies

JOURNAL ARTICLE published February 1977 in SIAM Journal on Control and Optimization

Authors: Uriel G. Rothblum

https://doi.org/10.1137/0315016 Actions

Finite Dynamic Programming: An Approach to Finite Markov Decision Processes (D. J. White)

JOURNAL ARTICLE published October 1980 in SIAM Review

Authors: Richard Serfozo

https://doi.org/10.1137/1022112 Actions

A Turnpike Theorem For A Risk-Sensitive Markov Decision Process with Stopping

JOURNAL ARTICLE published January 2006 in SIAM Journal on Control and Optimization

Authors: Eric V. Denardo | Uriel G. Rothblum

https://doi.org/10.1137/s0363012904442616 Actions

Finite Linear Programming Approximations of Constrained Discounted Markov Decision Processes

JOURNAL ARTICLE published January 2013 in SIAM Journal on Control and Optimization

Authors: François Dufour | Tomás Prieto-Rumeau

https://doi.org/10.1137/120867925 Actions

Optimality of Piecewise-Constant Policies in Semi-Markov Decision Chains

JOURNAL ARTICLE published September 1984 in SIAM Journal on Control and Optimization

Authors: Laurent Cantaluppi

https://doi.org/10.1137/0322046 Actions

A Convex Analytic Approach to Risk-Aware Markov Decision Processes

JOURNAL ARTICLE published January 2015 in SIAM Journal on Control and Optimization

Authors: William B. Haskell | Rahul Jain

https://doi.org/10.1137/140969221 Actions
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