5 papers · 1 filter
Dynamically Augmented CVaR for MDPs
Eugene A. Feinberg, Rui Ding
This paper studies optimization of Conditional Value-at-Risk (CVaR) for Markov Decision Processes (MDPs) with finite state and action sets. It introduces the Dynamically augmented…
Computing optimal policies for managing inventories with noisy observations
Eugene Feinberg, Jefferson Huang, Pavlo Kasyanov +1
This paper implements the Deep Deterministic Policy Gradient (DDPG) algorithm for computing optimal policies for partially observable single-product periodic review inventory contr…
Properties of Turnpike Functions for Discounted Finite Markov Decision Processes
Eugene A. Feinberg, Gaojin He
This paper studies convergence times of the Value Iteration Algorithm (VIA) for discounted discrete-time Markov Decision Processes (MDPs) with finite state and action sets. For eac…
Continuity of Filters for Discrete-Time Control Problems Defined by Explicit Equations
Eugene A. Feinberg, Sayaka Ishizawa, Pavlo O. Kasyanov +1
Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For…
Average-Cost MDPs with Infinite State and Action Sets: New Sufficient Conditions for Optimality Inequalities and Equations
Eugene A. Feinberg, Pavlo O. Kasyanov, Liliia S. Paliichuk
This paper studies discrete-time average-cost infinite-horizon Markov decision processes (MDPs) with Borel state and action sets. It introduces new sufficient conditions for { the}…