3 papers
math.OC2020
A useful technique for piecewise deterministic Markov decision processes
Xin Guo, Yi Zhang
This paper presents with justifications a technique that is useful for the study of piecewise deterministic Markov decision processes (PDMDPs) with general policies and unbounded t…
math.OC2018
Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
Xin Guo, Qiuli Liu, Yi Zhang
We consider a risk-sensitive continuous-time Markov decision process over a finite time duration. Under the conditions that can be satisfied by unbounded transition and cost rates,…
math.OC2017
On risk-sensitive piecewise deterministic Markov decision processes
Xin Guo, Yi Zhang
We consider a piecewise deterministic Markov decision process, where the expected exponential utility of total (nonnegative) cost is to be minimized. The cost rate, transition rate…