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Accelerated modified policy iteration algorithms for Markov decision processes

Shlakhter, Oleksandr; Lee, Chi-guhn - In: Mathematical methods of operations research 78 (2013) 1, pp. 61-76

Persistent link: https://www.econbiz.de/10009774861

A limit theorem for Markov decision processes

Staudigl, Mathias - 2013

many actions and general state spaces as they appear frequently in economics, game theory and operations research. Using … result can be found in large deviation theory, and some simple economic problems. -- Markov decision processes ; optimal …

Persistent link: https://www.econbiz.de/10009713938

Probabilistic bounded relative error property for learning rare event simulation techniques

Ridder, Ad; Tuffin, Bruno - 2012

Persistent link: https://www.econbiz.de/10009722965

A Markov modulated Poisson model for software reliability

Landon, Joshua; Özekici, Süleyman; Soyer, Refik - In: European journal of operational research : EJOR 229 (2013) 2, pp. 404-410

Persistent link: https://www.econbiz.de/10009757981

Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices

Agnello, Luca; Dufrénot, Gilles; Sousa, Ricardo M. - In: Economic modelling 34 (2013), pp. 25-36

Persistent link: https://www.econbiz.de/10010360626

Penalty-based algorithms for the stochastic obstacle scene problem

Aksakalli, Vural; Ari, Ibrahim - In: INFORMS journal on computing : JOC 26 (2014) 2, pp. 370-384

Persistent link: https://www.econbiz.de/10010362436

Markov regime-switching tests: asymptotic critical values

Carter, Andrew V.; Steigerwald, Douglas G. - In: Journal of econometric methods 2 (2013) 1, pp. 25-34

Persistent link: https://www.econbiz.de/10009784220

Modeling and performance of bonus-malus systems : stationarity versus age-correction

Asmussen, Søren - In: Risks : open access journal 2 (2014) 1, pp. 49-73

In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...

Persistent link: https://www.econbiz.de/10010338093

On transition matrices of Markov chains corresponding to Hamiltonian cycles

Avrachenkov, Konstantin; Eshragh, Ali; Filar, Jerzy A. - In: Optimization models with economic and game theoretic …, (pp. 19-35). 2016

Persistent link: https://www.econbiz.de/10011532973

Kolmogorov forward equation and explosiveness in countable state Markov processes

Spieksma, F. M. - 2016

Persistent link: https://www.econbiz.de/10011507034