A Discounted Approach in Communicating Average Markov Decision Chains Under Risk-Aversion.
Julio Saucedo-ZulRolando Cavazos-CadenaHugo Cruz-SuárezPublished in: J. Optim. Theory Appl. (2020)
Keyphrases
- average cost
- markov decision chains
- risk aversion
- long run
- markov decision processes
- utility function
- infinite horizon
- finite state
- finite number
- inventory level
- exchange rate
- expected utility
- optimal policy
- risk sensitive
- multistage
- finite horizon
- optimal control
- linear programming
- total cost
- risk averse
- expected cost
- linear program
- initial state
- objective function
- control policy
- decision theory
- markov chain
- dynamic programming