We propose for risk sensitive control of finite Markov chains a counterpart of the popular 'actor-critic'algorithm for classical Markov decision processes. The algorithm is based on a 'sensitivity formula'for the risk sensitive cost; is shown to converge with probability one to the desired solution. The proof technique is an adaptation of the ordinary differential equations approach for the analysis of two time-scale stochastic approximation algorithms
The actor-critic algorithm of Barto and others for simulation-based optimization of Markov decision ...
In this note we consider continuous-time Markov decision processes with finite state and actions spa...
Discrete controlled Markov chains with finite action space and bounded cost per stage are studied in...
We propose for risk sensitive control of finite Markov chains a counterpart of the popular 'actor-cr...
We propose for risk-sensitive control of finite Markov chains a counterpart of the popular Q-learnin...
In many sequential decision-making problems we may want to manage risk by minimizing some measure of...
A two-timescale simulation-based actor-critic algorithm for solution of infinite horizon Markov deci...
The actor-critic algorithm of Barto and others for simulation-based optimization of Markov decision ...
The actor-critic algorithm of Barto and others for simulation-based optimization of Markov decision ...
In many sequential decision-making problems we may want to manage risk by minimizing some measure of...
An actor-critic type reinforcement learning algorithm is proposed and analyzed for constrained contr...
Sensitivity analysis is widely applied in financial risk management and engineering; it describes th...
Sensitivity analysis is widely applied in financial risk management and engineering; it describes th...
Summary. This paper deals with a finite-state, finite-action discrete-time Markov decision model. A ...
The actor-critic algorithm of Barto and others for simulation-based optimization of Markov decision ...
The actor-critic algorithm of Barto and others for simulation-based optimization of Markov decision ...
In this note we consider continuous-time Markov decision processes with finite state and actions spa...
Discrete controlled Markov chains with finite action space and bounded cost per stage are studied in...
We propose for risk sensitive control of finite Markov chains a counterpart of the popular 'actor-cr...
We propose for risk-sensitive control of finite Markov chains a counterpart of the popular Q-learnin...
In many sequential decision-making problems we may want to manage risk by minimizing some measure of...
A two-timescale simulation-based actor-critic algorithm for solution of infinite horizon Markov deci...
The actor-critic algorithm of Barto and others for simulation-based optimization of Markov decision ...
The actor-critic algorithm of Barto and others for simulation-based optimization of Markov decision ...
In many sequential decision-making problems we may want to manage risk by minimizing some measure of...
An actor-critic type reinforcement learning algorithm is proposed and analyzed for constrained contr...
Sensitivity analysis is widely applied in financial risk management and engineering; it describes th...
Sensitivity analysis is widely applied in financial risk management and engineering; it describes th...
Summary. This paper deals with a finite-state, finite-action discrete-time Markov decision model. A ...
The actor-critic algorithm of Barto and others for simulation-based optimization of Markov decision ...
The actor-critic algorithm of Barto and others for simulation-based optimization of Markov decision ...
In this note we consider continuous-time Markov decision processes with finite state and actions spa...
Discrete controlled Markov chains with finite action space and bounded cost per stage are studied in...
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