Computational methods for risk-averse undiscounted transient markov models
Date
2014
Authors
Çavuş, O.
Ruszczyński, A.
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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.
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Operations Research
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Institute for Operations Research and the Management Sciences (I N F O R M S)
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English