典型文献
First Passage Risk Probability Minimization for Piecewise Deterministic Markov Decision Processes
文献摘要：
This paper is an attempt to study the minimization problem of the risk probability of piecewise deterministic Markov decision processes(PDMDPs)with unbounded transition rates and Borel spaces.Different from the expected discounted and average criteria in the existing literature,we consider the risk probability that the total rewards produced by a system do not exceed a prescribed goal during a first passage time to some target set,and aim to find a policy that minimizes the risk probability over the class of all history-dependent policies.Under suitable conditions,we derive the optimality equation(OE)for the probability criterion,prove that the value function of the minimization problem is the unique solution to the OE,and establish the existence of ε(≥0)-optimal policies.Finally,we provide two examples to illustrate our results.
文献关键词：
中图分类号：
作者姓名：
Xin WEN;Hai-feng HUO;Xian-ping GUO
作者机构：
School of Mathematics,Sun Yat-sen University,Guangzhou 510275,China;School of Science,Guangxi University of Science and Technology,Liuzhou 545006,China;Guangdong Province Key Laboratory of Computational Science,Sun Yat-sen University,Guangzhou 510275,China
文献出处：
引用格式：
[1]Xin WEN;Hai-feng HUO;Xian-ping GUO-.First Passage Risk Probability Minimization for Piecewise Deterministic Markov Decision Processes)[J].应用数学学报（英文版）,2022(03):549-567
A类：
PDMDPs
B类：
First,Passage,Risk,Probability,Minimization,Piecewise,Deterministic,Markov,Decision,Processes,This,paper,attempt,study,minimization,problem,risk,probability,piecewise,deterministic,decision,processes,unbounded,transition,rates,Borel,spaces,Different,from,expected,discounted,average,criteria,existing,literature,we,consider,that,total,rewards,produced,by,system,do,not,exceed,prescribed,goal,during,first,passage,some,target,set,aim,find,policy,minimizes,over,class,history,dependent,policies,Under,suitable,conditions,derive,optimality,equation,OE,criterion,prove,value,function,unique,solution,establish,existence,Finally,provide,two,examples,illustrate,our,results
AB值：
0.718508
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