Controlled Markov Processes with AVaR Criteria for Unbounded Costs
نویسنده
چکیده
In this paper, we consider the control problem with the Average-Value-at-Risk (AVaR) criteria of the possibly unbounded L1-costs in infinite horizon on a Markov Decision Process (MDP). With a suitable state aggregation and by choosing a priori a global variable s heuristically, we show that there exist optimal policies for the infinite horizon problem. Mathematics Subject Classification: 90C39, 93E20
منابع مشابه
Controlled Markov Decision Processes with AVaR criteria for unbounded costs
In this paper, we consider the control problem with the Average-Value-at-Risk (AVaR) criteria of the possibly unbounded L1-costs in infinite horizon on a Markov Decision Process (MDP). With a suitable state aggregation and by choosing a priori a global variable s heuristically, we show that there exist optimal policies for the infinite horizon problem for possibly unbounded costs. Mathematics S...
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