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math.OC2025
Finite-Horizon Partially Observable Semi-Markov Games with Risk Probability Criteria
Xin Wen, Li Xia, Zhihui Yu
This paper studies partially observable two-person zero-sum semi-Markov games under a probability criterion, in which the system state may not be completely observed. It focuses on…
math.OC2025
Markov Decision Processes with Value-at-Risk Criterion
Li Xia, Jinyan Pan
Value-at-risk (VaR), also known as quantile, is a crucial risk measure in finance and other fields. However, optimizing VaR metrics in Markov decision processes (MDPs) is challengi…
math.OC2025
Mean-Variance Optimization and Algorithm for Finite-Horizon Markov Decision Processes
Li Xia, Zhihui Yu
Multi-period mean-variance optimization is a long-standing problem, caused by the failure of dynamic programming principle. This paper studies the mean-variance optimization in a s…