期刊
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
卷 386, 期 1, 页码 461-472出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.jmaa.2011.08.006
关键词
Markov decision process; Dynamic programming; Threshold probability; Nonnegative-valued multiplicative criterion; Liquidity risk
资金
- Grants-in-Aid for Scientific Research [23654038, 09J05487, 22540112] Funding Source: KAKEN
We consider a class of problems concerned with maximizing probabilities, given stage-wise targets, which generalizes the standard threshold probability problem in Markov decision processes. The objective function is the probability that, at all stages, the associatively combined accumulation of rewards earned up to that point takes its value in a specified stage-wise interval. It is shown that this class reduces to the case of the nonnegative-valued multiplicative criterion through an invariant imbedding technique. We derive a recursive formula for the optimal value function and an effective method for obtaining the optimal policies. (C) 2011 Elsevier Inc. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据