Now showing items 1-6 of 6
Risk-Sensitive and Minimax Control of Discrete-Time, Finite-State Markov Decision Processes
This paper analyzes a connection between risk-sensitive and minimaxcriteria for discrete-time, finite-states Markov Decision Processes(MDPs). We synthesize optimal policies with respect to both criteria,both for finite ...
Harnack's Inequality for Cooperative Weakly Coupled Elliptic Systems
We consider cooperative, uniformly elliptic systems, with bounded coefficients and coupling in the zeroth-order terms. We establish two analogues of Harnack's inequality for this class of systems. A weak version is obtained ...
Monotone Optimal Policies for a Transient Queueing Staffing Problem
We consider the problem of determining the optimal policy for staffing a queueing system over multiple periods, using a model that takes into account transient queueing effects. Formulating the problem in a dynamic programming ...
Risk-Sensitive, Minimax, and Mixed Risk-Neutral/Minimax Control of Markov Decision Processes
This paper analyzes a connection between risk-sensitive and minimaxcriteria for discrete-time, finite-state Markov Decision Processes(MDPs). We synthesize optimal policies with respect to both criteria,both for finite ...
Randomized Difference Two-Timescale Simultaneous Perturbation Stochastic Approximation Algorithms for Simulation Optimization of Hidden Markov Models
We proposetwo finite difference two-timescale simultaneous perturbationstochastic approximation (SPSA)algorithmsfor simulation optimization ofhidden Markov models. Stability and convergence of both thealgorithms is ...
Optimal Multilevel Feedback Policies for ABR Flow Control using Two Timescale SPSA
Optimal multilevel control policies for rate based flow control in available bit rate (ABR) service in asynchronous transfer mode (ATM) networks are obtained in the presence of information and propagation delays, using a ...