Çavuş, O.Ruszczyński, A.2016-02-082016-02-0820140030-364Xhttp://hdl.handle.net/11693/26435The 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.EnglishNewton-Raphson methodControl problemsCost problemsDynamic risk measureMarkov modelNonsmooth Newton methodPolicy evaluationPolicy iterationSolution methodsMarkov processesArticle10.1287/opre.2013.12511526-5463