Risk-Sensitive and Minimax Control of Discrete-Time, Finite-State Markov Decision Processes
dc.contributor.author | Coraluppi, Stephano P. | en_US |
dc.contributor.author | Marcus, Steven I. | en_US |
dc.contributor.department | ISR | en_US |
dc.date.accessioned | 2007-05-23T10:05:44Z | |
dc.date.available | 2007-05-23T10:05:44Z | |
dc.date.issued | 1998 | en_US |
dc.description.abstract | 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 horizon and discounted infinite horizon problems. Ageneralized decision-making framework is introduced, which includes asspecial cases a number of approaches that have been considered in theliterature. The framework allows for discounted risk-sensitive andminimax formulations leading to stationary optimal policies on theinfinite horizon. We illustrate our results with a simple machinereplacement problem. | en_US |
dc.format.extent | 330629 bytes | |
dc.format.mimetype | application/pdf | |
dc.identifier.uri | http://hdl.handle.net/1903/5948 | |
dc.language.iso | en_US | en_US |
dc.relation.ispartofseries | ISR; TR 1998-29 | en_US |
dc.subject | optimal control | en_US |
dc.subject | Risk-Sensitive Control | en_US |
dc.subject | Minimax Control | en_US |
dc.subject | Markov Decision Processes | en_US |
dc.subject | Intelligent Control Systems | en_US |
dc.title | Risk-Sensitive and Minimax Control of Discrete-Time, Finite-State Markov Decision Processes | en_US |
dc.type | Technical Report | en_US |
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