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      Computational methods for risk-averse undiscounted transient markov models

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      Author
      Çavuş, O.
      Ruszczyński, A.
      Date
      2014
      Source Title
      Operations Research
      Print ISSN
      0030-364X
      Electronic ISSN
      1526-5463
      Publisher
      Institute for Operations Research and the Management Sciences (I N F O R M S)
      Volume
      62
      Issue
      2
      Pages
      401 - 417
      Language
      English
      Type
      Article
      Item Usage Stats
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      Abstract
      The total cost problem for discrete-time controlled transient Markov models is considered. The objective functional is a Markov dynamic risk measure of the total cost. Two solution methods, value and policy iteration, are proposed, and their convergence is analyzed. In the policy iteration method, we propose two algorithms for policy evaluation: the nonsmooth Newton method and convex programming, and we prove their convergence. The results are illustrated on a credit limit control problem.
      Keywords
      Newton-Raphson method
      Control problems
      Cost problems
      Dynamic risk measure
      Markov model
      Nonsmooth Newton method
      Policy evaluation
      Policy iteration
      Solution methods
      Markov processes
      Permalink
      http://hdl.handle.net/11693/26435
      Published Version (Please cite this version)
      http://dx.doi.org/10.1287/opre.2013.1251
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