Target-sensitive Control of Markov and Semi-markov Processes

Author

Abhijit Gosavi, Missouri University of Science and TechnologyFollow

Abstract

We develop the theory for Markov and semi-Markov control using dynamic programming and reinforcement learning in which a form of semi-variance which computes the variability of rewards below a pre-specified target is penalized. the objective is to optimize a function of the rewards and risk where risk is penalized. Penalizing variance, which is popular in the literature, has some drawbacks that can be avoided with semi-variance. © ICROS, KIEE and Springer 2011.

Recommended Citation

A. Gosavi, "Target-sensitive Control of Markov and Semi-markov Processes," International Journal of Control, Automation and Systems, vol. 9, no. 5, pp. 941 - 951, Springer, Oct 2011.

The definitive version is available at https://doi.org/10.1007/s12555-011-0515-6

Department(s)

Engineering Management and Systems Engineering

Comments

National Science Foundation, Grant 0841055

Keywords and Phrases

Relative value iteration; Semi-Markov control; Semi-variance; Stochastic shortest path problem; Target-sensitive

International Standard Serial Number (ISSN)

2005-4092; 1598-6446

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2024 Springer, All rights reserved.

Publication Date

01 Oct 2011