Title :
Controlled Markov chains with exponential risk-sensitive criteria: modularity, structured policies and applications
Author :
Avila-Godoy, Guadalupe ; Fernández-Gaucherand, Emmanuel
Author_Institution :
Dept. of Math., Arizona Univ., Tucson, AZ, USA
Abstract :
This work concerns controlled Markov chains models with a countable state space, under (exponential) total and discounted risk-sensitive cost criteria. A set of general conditions is presented to obtain structural properties of the optimal value function and policies. In particular, monotonicity properties of value functions and optimal policies are established. Three applications studies are used to illustrate the general results obtained in the paper: equipment replacement, optimal resource allocation, and inventory control
Keywords :
Markov processes; decision theory; maintenance engineering; resource allocation; stock control; controlled Markov chains; countable state space; equipment replacement; exponential risk-sensitive criteria; inventory control; modularity; monotonicity properties; optimal resource allocation; optimal value function; structured policies; value functions; Cost function; Equations; History; Industrial engineering; Inventory control; Mathematical model; Mathematics; Minimization methods; Resource management; State-space methods;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.760782
