2 papers
math.OC2023
On the Maximization of Long-Run Reward CVaR for Markov Decision Processes
Li Xia, Zhihui Yu, Peter W. Glynn
This paper studies the optimization of Markov decision processes (MDPs) from a risk-seeking perspective, where the risk is measured by conditional value-at-risk (CVaR). The objecti…
math.PR2021
On a Single Server Queue Fed by a Scheduled Traffic with Pareto Perturbations
V. F. Araman, H. Chen, P. W. Glynn +1
A "scheduled" arrival process is one in which the n th arrival is scheduled for time n, but instead occurs at a different time. The difference between the scheduled time and the ar…