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Controlled Markov chains with risk-sensitive average cost criterion: the non-irreducible case PROCEEDINGS ARTICLE published in Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228) |
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Controlled Markov chains with risk-sensitive average cost criterion: the non-irreducible case PROCEEDINGS ARTICLE published in Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228) |
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Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes JOURNAL ARTICLE published April 2021 in Mathematical Methods of Operations Research Research funded by Fapesp (2014/50279-4,2014/50851-0) | Conselho Nacional de Desenvolvimento Científico e Tecnológico (304149/2019-5) |
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Controlled Markov chains with exponential risk-sensitive criteria: modularity, structured policies and applications PROCEEDINGS ARTICLE published in Proceedings of the 37th IEEE Conference on Decision and Control (Cat. No.98CH36171) |
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Sample-Path Optimality in Average Markov Decision Chains Under a Double Lyapunov Function Condition BOOK CHAPTER published 2012 in Optimization, Control, and Applications of Stochastic Systems |
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A counterexample on the optimality equation in Markov decision chains with the average cost criterion JOURNAL ARTICLE published May 1991 in Systems & Control Letters |
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Discounted approximations to the risk-sensitive average cost in finite Markov chains JOURNAL ARTICLE published June 2017 in Journal of Mathematical Analysis and Applications |
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Necessary conditions for the optimality equation in average-reward Markov decision processes JOURNAL ARTICLE published January 1989 in Applied Mathematics & Optimization |
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Average criteria in denumerable semi-Markov decision chains under risk-aversion JOURNAL ARTICLE published September 2023 in Discrete Event Dynamic Systems |
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Average Optimality for Adaptive Markov Control Processes with Unbounded Costs and Unknown Disturbance Distribution BOOK CHAPTER published 2002 in Markov Processes and Controlled Markov Chains |
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The Value Iteration Algorithm in Risk-Sensitive Average Markov Decision Chains with Finite State Space JOURNAL ARTICLE published November 2003 in Mathematics of Operations Research |
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Necessary and sufficient conditions for a bounded solution to the optimality equation in average reward Markov decision chains JOURNAL ARTICLE published January 1988 in Systems & Control Letters |
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Markov Decision Processes with Average-Value-at-Risk criteria JOURNAL ARTICLE published December 2011 in Mathematical Methods of Operations Research |
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Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains JOURNAL ARTICLE published December 2009 in Mathematical Methods of Operations Research |
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Markov risk mappings and risk-sensitive optimal prediction JOURNAL ARTICLE published February 2023 in Mathematical Methods of Operations Research Research funded by Engineering and Physical Sciences Research Council (EP/P002625/1) | Lloyd’s Register Foundation (G0095) | Engineering and Physical Sciences Research Council (EP/R014604/1,EP/N013492/1) |
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Nonparametric estimation and adaptive control in a class of finite Markov decision chains JOURNAL ARTICLE published December 1991 in Annals of Operations Research |
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Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller JOURNAL ARTICLE published March 2024 in Journal of Applied Probability |
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Markov decision processes with risk-sensitive criteria: an overview JOURNAL ARTICLE published April 2024 in Mathematical Methods of Operations Research |
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A note on the vanishing interest rate approach in average Markov decision chains with continuous and bounded costs JOURNAL ARTICLE published April 1995 in Systems & Control Letters |
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Contractive Approximations in Risk-Sensitive Average Semi-Markov Decision Chains on a Finite State Space JOURNAL ARTICLE published January 2022 in Journal of Optimization Theory and Applications |