2 papers
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
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…