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Mean–variance optimization of discrete time discounted Markov decision processes JOURNAL ARTICLE published February 2018 in Automatica Research funded by National Key Research and Development Program of China (2016YFB0901900) | National Natural Science Foundation of China (61573206,61203039,U1301254) | National 111 International Collaboration Project (B06002) | SuZhou-Tsinghua Innovation Leading Action (2016SZ0202) |
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Optimization of Markov decision processes under the variance criterion JOURNAL ARTICLE published November 2016 in Automatica Research funded by National Natural Science Foundation of China (61573206,61203039,U1301254) | the Key R&D Project of China (2016YFB0901902) | National 111 International Collaboration Project (B06002) |
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Constrained discounted Markov decision processes with Borel state spaces JOURNAL ARTICLE published January 2020 in Automatica |
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Mean–variance portfolio selection with dynamic attention behavior in a hidden Markov model JOURNAL ARTICLE published December 2022 in Automatica Research funded by Fundamental Research Funds for the Central Universities (2020ECNU-HWFW003) | Higher Education Discipline Innovation Project (B14019) | National Science Foundation (DMS-2114649) | Research Grants Council, University Grants Committee (17304921) | National Natural Science Foundation of China (11571113,11601157,11601320,12071146) |
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A generalized multi-period mean–variance portfolio optimization with Markov switching parameters JOURNAL ARTICLE published October 2008 in Automatica |
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A unified approach to Markov decision problems and performance sensitivity analysis with discounted and average criteria: multichain cases JOURNAL ARTICLE published October 2004 in Automatica |
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Computationally efficient algorithms for on-line optimization of markov decision processes JOURNAL ARTICLE published January 1992 in Automatica |
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Simulation-based optimization of Markov decision processes: An empirical process theory approach JOURNAL ARTICLE published August 2010 in Automatica |
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Approximate stochastic annealing for online control of infinite horizon Markov decision processes JOURNAL ARTICLE published September 2012 in Automatica |
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A note on the existence of optimal stationary policies for average Markov decision processes with countable states JOURNAL ARTICLE published May 2023 in Automatica Research funded by National Natural Science Foundation of China (11931018,62073346,U1811462) | Sun Yat-sen University (2020B1212060032) | National Key Research and Development Program of China (2022YFA1004600) | Basic and Applied Basic Research Foundation of Guangdong Province (2021A1515011984) |
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Learning Control of Dynamical Systems Based on Markov Decision Processes: Research Frontiers and Outlooks JOURNAL ARTICLE published 27 December 2012 in Acta Automatica Sinica |
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Uncertain exit time multi-period mean–variance portfolio selection with endogenous liabilities and Markov jumps JOURNAL ARTICLE published November 2013 in Automatica |
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Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint JOURNAL ARTICLE published January 2022 in Automatica Research funded by Ministry of Education - Singapore (MOE2017-T2-1-044) |
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Open-loop equilibrium strategy for mean–variance portfolio problem under stochastic volatility JOURNAL ARTICLE published September 2019 in Automatica |
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Value set iteration for Markov decision processes JOURNAL ARTICLE published July 2014 in Automatica |
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Policy set iteration for Markov decision processes JOURNAL ARTICLE published December 2013 in Automatica |
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Stability-constrained Markov Decision Processes using MPC JOURNAL ARTICLE published September 2022 in Automatica Research funded by Ministero dell’Istruzione, dell’Università e della Ricerca (2017J89ARP) |
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Sleeping experts and bandits approach to constrained Markov decision processes JOURNAL ARTICLE published January 2016 in Automatica |
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A unified approach to time-aggregated Markov decision processes JOURNAL ARTICLE published May 2016 in Automatica Research funded by National Natural Science Foundation of China (61004036) |
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Actor-critic algorithms for hierarchical Markov decision processes JOURNAL ARTICLE published April 2006 in Automatica |