On Risk-Sensitive Piecewise Deterministic Markov Decision Processes

Guo, Xin ORCID: 0000-0002-6523-0339 and Zhang, Yi ORCID: 0000-0002-3200-6306 (2020) On Risk-Sensitive Piecewise Deterministic Markov Decision Processes. APPLIED MATHEMATICS AND OPTIMIZATION, 81 (3). pp. 685-710.

Access the full-text of this item by clicking on the Open Access link.

Official URL: http://dx.doi.org/10.1007/s00245-018-9485-x

Abstract

We consider a piecewise deterministic Markov decision process, where the expected exponential utility of total (nonnegative) cost is to be minimized. The cost rate, transition rate and post-jump distributions are under control. The state space is Borel, and the transition and cost rates are locally integrable along the drift. Under natural conditions, we establish the optimality equation, justify the value iteration algorithm, and show the existence of a deterministic stationary optimal policy. Applied to special cases, the obtained results already significantly improve some existing results in the literature on finite horizon and infinite horizon discounted risk-sensitive continuous-time Markov decision processes.

Item Type:	Article
Uncontrolled Keywords:	Continuous-time Markov decision processes, Piecewise deterministic Markov decision processes, Exponential utility, Dynamic programming
Depositing User:	Symplectic Admin
Date Deposited:	23 Mar 2018 11:50
Last Modified:	19 Jan 2023 06:37
DOI:	10.1007/s00245-018-9485-x
Open Access URL:	https://link.springer.com/article/10.1007/s00245-0...
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3019382