Results 11 to 20 of about 236 (54)
A CONTINUITY QUESTION OF DUBINS AND SAVAGE [PDF]
, 2017 Lester Dubins and Leonard Savage posed the question as to what extent the optimal reward function U of a leavable gambling problem varies continuously in the gambling house Γ, which specifies the stochastic processes available to a player, and the ...
Laraki, R, Sudderth, W
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Note on stability estimation of stochastic difference equations
Open MathematicsStability estimates are proposed for two variants of Markov processes defined by stochastic difference equations: uncontrolled and controlled. Processes of this type are widely used in applications where their “governing distributions” are known only ...
Gordienko Evgueni, Ruiz de Chavez Juan
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Optimal Control of Partially Observable Piecewise Deterministic Markov Processes
, 2018 In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to control the ...
Bäuerle, Nicole, Lange, Dirk
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A central limit theorem for temporally non-homogenous Markov chains with applications to dynamic programming [PDF]
, 2015 We prove a central limit theorem for a class of additive processes that arise naturally in the theory of finite horizon Markov decision problems. The main theorem generalizes a classic result of Dobrushin (1956) for temporally non-homogeneous Markov ...
Arlotto, Alessandro, Steele, J. Michael
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Reading policies for joins: An asymptotic analysis
, 2007 Suppose that $m_n$ observations are made from the distribution $\mathbf {R}$ and $n-m_n$ from the distribution $\mathbf {S}$. Associate with each pair, $x$ from $\mathbf {R}$ and $y$ from $\mathbf {S}$, a nonnegative score $\phi(x,y)$. An optimal reading
Russo, Ralph P. +1 more
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Optimality of mixed policies for average continuous-time Markov decision processes with constraints [PDF]
, 2016 This article concerns the average criteria for continuous-time Markov decision processes with N constraints. We show the following; (a) every extreme point of the space of performance vectors corresponding to the set of stable measures is generated by a ...
Guo, X, Zhang, Y
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Discounted continuous-time constrained Markov decision processes in Polish spaces
, 2011 This paper is devoted to studying constrained continuous-time Markov decision processes (MDPs) in the class of randomized policies depending on state histories. The transition rates may be unbounded, the reward and costs are admitted to be unbounded from
Guo, Xianping, Song, Xinyuan
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Relative Value Iteration for Stochastic Differential Games
, 2013 We study zero-sum stochastic differential games with player dynamics governed by a nondegenerate controlled diffusion process. Under the assumption of uniform stability, we establish the existence of a solution to the Isaac's equation for the ergodic ...
A Arapostathis +10 more
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Hamiltonian cycles and subsets of discounted occupational measures
, 2019 We study a certain polytope arising from embedding the Hamiltonian cycle problem in a discounted Markov decision process. The Hamiltonian cycle problem can be reduced to finding particular extreme points of a certain polytope associated with the input ...
Eshragh, Ali +3 more
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Maximizing the probability of attaining a target prior to extinction
, 2009 We present a dynamic programming-based solution to the problem of maximizing the probability of attaining a target set before hitting a cemetery set for a discrete-time Markov control process.
Abate +37 more
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