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

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

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

Discounted Continuous-Time Markov Decision Processes with Unbounded Rates: The Convex Analytic Approach

JOURNAL ARTICLE published January 2011 in SIAM Journal on Control and Optimization

Authors: Alexey Piunovskiy | Yi Zhang

Discounted Deterministic Markov Decision Processes and Discounted All-Pairs Shortest Paths

PROCEEDINGS ARTICLE published 4 January 2009 in Proceedings of the Twentieth Annual ACM-SIAM Symposium on Discrete Algorithms

Authors: Omid Madani | Mikkel Thorup | Uri Zwick

Singularly Perturbed Discounted Markov Control Processes in a General State Space

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

Authors: O. L. V. Costa | F. Dufour

Limiting Average Criteria For Nonstationary Markov Decision Processes

JOURNAL ARTICLE published January 2001 in SIAM Journal on Optimization

Authors: Xianping Guo | Peng Shi

Minimizing Infinite Time Horizon Discounted Cost with Mean, Variance, and Bounded Variation Controls

JOURNAL ARTICLE published January 2003 in SIAM Journal on Control and Optimization

Authors: Ananda Weerasinghe

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

Markov--Nash Equilibria in Mean-Field Games with Discounted Cost

JOURNAL ARTICLE published January 2018 in SIAM Journal on Control and Optimization

Authors: Naci Saldi | Tamer Başar | Maxim Raginsky

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

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

Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming

JOURNAL ARTICLE published January 1996 in SIAM Journal on Control and Optimization

Authors: Onésimo Hernández-Lerma | Jean B. Lasserre

Constrained and Unconstrained Optimal Discounted Control of Piecewise Deterministic Markov Processes

JOURNAL ARTICLE published January 2016 in SIAM Journal on Control and Optimization

Research funded by Agence Nationale de la Recherche (ANR-1--INDEX-03-02) | Fundação de Amparo à Pesquisa do Estado de São Paulo (2013/50759-3) | Conselho Nacional de Desenvolvimento Científico e Tecnológico (304091/2014-6)

Authors: O. L. V. Costa | F. Dufour | A. B. Piunovskiy

Dual Ascent and Primal-Dual Algorithms for Infinite-Horizon Nonstationary Markov Decision Processes

JOURNAL ARTICLE published 30 September 2023 in SIAM Journal on Optimization

Authors: Archis Ghate

Robust Markov Decision Processes with Data-Driven, Distance-Based Ambiguity Sets

JOURNAL ARTICLE published June 2022 in SIAM Journal on Optimization

Authors: Sivaramakrishnan Ramani | Archis Ghate

Mean-Variance Portfolio Selection for Partially Observed Point Processes

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

Research funded by National Natural Science Foundation of China (61873325,11831010) | National Science Foundation (DMS-1228244) | Southern University of Science and Technology (Y01286120)

Authors: Jie Xiong | Yong Zeng | Shuaiqi Zhang

Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

JOURNAL ARTICLE published January 2003 in SIAM Journal on Control and Optimization

Authors: Xun Yu Zhou | G. Yin

Social Optima in Mean Field Linear-Quadratic-Gaussian Models with Markov Jump Parameters

JOURNAL ARTICLE published January 2017 in SIAM Journal on Control and Optimization

Research funded by National Key Basic Research Program of China (2014CB845301) | National Natural Science Foundation of China (61403233,612279002)

Authors: Bing-Chang Wang | Ji-Feng Zhang

Continuous-Time Markov Decision Processes with Exponential Utility

JOURNAL ARTICLE published January 2017 in SIAM Journal on Control and Optimization

Research funded by European Commission (RFSR-CT-2014-00025)

Authors: Yi Zhang