Middle East Technical University Institute of Applied Mathematics Seminars

Controlled Markov Decision Processes with AVaR Criteria for Unbounded Cost
Kerem Uğurlu
University of Washington, United States of America
Özet : In this talk, we consider the control problem with the Average-Value-at-Risk (AVaR) criteria of the possibly unbounded L1-costs in infinite horizon on a Markov Decision Process (MDP). With a suitable state aggregation and by choosing a priori a global variable s heuristically, we show that there exist optimal policies for the infinite horizon problem for possibly unbounded costs.
  Tarih : 25.10.2016
  Saat : 15:40
  Yer : Cryptology Lab.
  Dil : English