We treat the problem of risk-aware control for stochastic shortest path (SSP) on Markov decision processes (MDP). Typically, expectation is considered SSP, which however oblivious to incurred risk. present an alternative view, instead optimizing conditional value-at-risk (CVaR), established risk measure. both chains as well MDP and introduce, through novel insights, two algorithms, based linear...

the probable lack of some arcs and nodes in the stochastic networks is considered in this paper, and its effect is shown as the arrival probability from a given source node to a given sink node. a discrete time markov chain with an absorbing state is established in a directed acyclic network. then, the probability of transition from the initial state to the absorbing state is computed. it is as...

This paper develops a method for solving the single product multi-period production-planning problem, in which the production and the inventory costs of each period arc concave and backlogging is not permitted. It is also assumed that the unit variable cost of the production evolves according to a continuous time Markov process. We prove that this production-planning problem can be Stated as a ...

We consider dynamic, two-player, zero-sum games where the \minimizing" player seeks to drive an underlying nite-state dynamic system to a special terminal state along a least expected cost path. The \maximizer" seeks to interfere with the minimizer's progress so as to maximize the expected total cost. We consider, for the rst time, undiscounted nite-state problems, with compact action spaces, a...

This paper considers a stochastic version of the shortest path problem, the Stochastic Shortest Path Problem with Delay Excess Penalty on directed, acyclic graphs. In this model, the arc costs are deterministic, while each arc has a random delay, assumed normally distributed. A penalty occurs when the given delay constraint is not satisfied. The objective is to minimize the sum of the path cost...