Yayınlanmış 1 Ocak 2014
| Sürüm v1
Dergi makalesi
Açık
Computational Methods for Risk-Averse Undiscounted Transient Markov Models
Oluşturanlar
- 1. Bilkent Univ, Dept Ind Engn, TR-06800 Ankara, Turkey
- 2. Rutgers State Univ, Dept Management Sci & Informat Syst, Piscataway, NJ 08854 USA
Açıklama
The total cost problem for discrete-time controlled transient Markov models is considered. The objective functional is a Markov dynamic risk measure of the total cost. Two solution methods, value and policy iteration, are proposed, and their convergence is analyzed. In the policy iteration method, we propose two algorithms for policy evaluation: the nonsmooth Newton method and convex programming, and we prove their convergence. The results are illustrated on a credit limit control problem.
Dosyalar
bib-58fe0027-8626-42ff-bec5-bfdbf9aea252.txt
Dosyalar
(148 Bytes)
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