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Risk-Constrained Markov Decision Processes
IEEE Transactions on Automatic Control, 2014 We propose a new constrained Markov decision process framework with risk-type constraints. The risk metric we use is Conditional Value-at-Risk (CVaR), which is gaining popularity in finance. It is a conditional expectation but the conditioning is defined
Vivek Borkar
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Constrained total undiscounted continuous-time Markov decision processes [PDF]
Bernoulli, 2017 The present paper considers the constrained optimal control problem with total undiscounted criteria for a continuous-time Markov decision process (CTMDP) in Borel state and action spaces. The cost rates are nonnegative.
Xianping Guo
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An actor-critic algorithm for constrained Markov decision processes
Systems and Control Letters, 2005 An actor-critic type reinforcement learning algorithm is proposed and analyzed for constrained controlled Markov decision processes. The analysis uses multiscale stochastic approximation theory and the envelope theorem' of mathematical ...
Borkar, V. S.
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Constrained Markov decision processes with uncertain costs
Operations Research Letters, 2022Abdel Lisser +2 more
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Approximate solutions to constrained risk-sensitive Markov decision processes
European Journal of Operational Research, 2023Kavitha Veeraruna, Uday Kumar M
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Denumerable Constrained Markov Decision Processes and Finite Approximations
Mathematics of Operations Research, 1994Eitan Altman
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Finite Linear Programming Approximations of Constrained Discounted Markov Decision Processes
SIAM Journal on Control and Optimization, 2013François Dufour, Tomás Prieto-Rumeau
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Stochastic approximations of constrained discounted Markov decision processes
Journal of Mathematical Analysis and Applications, 2014François Dufour, Tomás Prieto-Rumeau
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Constrained markov decision processes with compact state and action spaces: the average case
Optimization, 2000Masami Kurano, Jun-Ichi Nakagami
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A policy improvement method for constrained average Markov decision processes
Operations Research Letters, 2007Hyeong Soo Chang
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