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.

Source Title

Operations Research

Publisher

Institute for Operations Research and the Management Sciences (I N F O R M S)

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Published Version (Please cite this version)

Language

English