1 citations · 2 across the 4 of their papers we have counts for
Showing math.OCShow all
3 papers · 1 filter
math.OC2022
Risk-Sensitive Markov Decision Processes with Long-Run CVaR Criterion
Li Xia, Peter W. Glynn
CVaR (Conditional Value at Risk) is a risk metric widely used in finance. However, dynamically optimizing CVaR is difficult since it is not a standard Markov decision process (MDP)…
math.OC2021★ 1 cited
Zero-sum risk-sensitive continuous-time stochastic games with unbounded payoff and transition rates and Borel spaces
Junyu Zhang, Xianping Guo, Li Xia
We study a finite-horizon two-person zero-sum risk-sensitive stochastic game for continuous-time Markov chains and Borel state and action spaces, in which payoff rates, transition…
math.OC2020★ 1 cited
On the existence of optimal stationary policies for average Markov decision processes with countable states
Li Xia, Xianping Guo, Xi-Ren Cao
For a Markov decision process with countably infinite states, the optimal value may not be achievable in the set of stationary policies. In this paper, we study the existence condi…