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 Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria Huang，Yonghui1; Lian，Zhaotong2; Guo，Xianping1 2018-09-01 Source Publication Advances in Applied Probability ISSN 00018678 Volume 50Issue:3Pages:783-804 Abstract In this paper we investigate risk-sensitive semi-Markov decision processes with a Borel state space, unbounded cost rates, and general utility functions. The performance criteria are several expected utilities of the total cost in a finite horizon. Our analysis is based on a type of finite-horizon occupation measure. We express the distribution of the finite-horizon cost in terms of the occupation measure for each policy, wherein the discount is not needed. For unconstrained and constrained problems, we establish the existence and computation of optimal policies. In particular, we develop a linear program and its dual program for the constrained problem and, moreover, establish the strong duality between the two programs. Finally, we provide two special cases of our results, one of which concerns the discrete-time model, and the other the chance-constrained problem. Keyword expected utility finite-horizon cost linear program occupation measure Semi-Markov decision process DOI 10.1017/apr.2018.36 URL View the original Language 英语 Fulltext Access Citation statistics Document Type Journal article Collection University of Macau Corresponding Author Guo，Xianping Affiliation 1.School of Mathematics,SunYat-Sen University,,Guangzhou,510275,China2.Faculty of Business Administration,University of Macau,,Macau,Macao Recommended CitationGB/T 7714 Huang，Yonghui,Lian，Zhaotong,Guo，Xianping. Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria[J]. Advances in Applied Probability,2018,50(3):783-804. APA Huang，Yonghui,Lian，Zhaotong,&Guo，Xianping.(2018).Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria.Advances in Applied Probability,50(3),783-804. MLA Huang，Yonghui,et al."Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria".Advances in Applied Probability 50.3(2018):783-804.
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