Computational methods for risk-averse undiscounted transient markov models

Özlem Çavuş, Andrzej Ruszczyński

Research output: Contribution to journalArticlepeer-review

12 Scopus citations

Abstract

The total cost problem for discrete-time controlled transient Markov models is considered. The objective functional is a Markov dynamic risk measure of the total cost. Two solution methods, value and policy iteration, are proposed, and their convergence is analyzed. In the policy iteration method, we propose two algorithms for policy evaluation: the nonsmooth Newton method and convex programming, and we prove their convergence. The results are illustrated on a credit limit control problem.

Original languageEnglish (US)
Pages (from-to)401-417
Number of pages17
JournalOperations Research
Volume62
Issue number2
DOIs
StatePublished - 2014

All Science Journal Classification (ASJC) codes

  • Computer Science Applications
  • Management Science and Operations Research

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