A Characterization of the Optimal Certainty Equivalent of the Average Cost via the Arrow-Pratt Sensitivity Function.
Rolando Cavazos-CadenaDaniel Hernández-HernándezPublished in: Math. Oper. Res. (2016)
Keyphrases
- average cost
- control policy
- long run
- markov decision processes
- finite state
- optimal control
- finite number
- linear programming
- approximate dynamic programming
- multistage
- infinite horizon
- finite horizon
- optimal policy
- markov decision chains
- total cost
- expected cost
- piecewise linear
- inventory models
- linear program
- dynamic programming
- action sets
- initial state
- special case
- holding cost
- optimal solution
- risk sensitive
- real time
- sensitivity analysis
- state space
- control policies
- optimality criterion
- reinforcement learning
- machine learning