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  • Algorithms  (1)
  • Convex stochastic orderings and Blackwell ordering  (1)
  • Stochastic control models  (1)
  • 1
    Electronic Resource
    Electronic Resource
    Markov games with incomplete information (1997)
    Springer
    Mathematical methods of operations research 46 (1997), S. 263-279 
    Details
    ISSN: 1432-5217
    Keywords: Markov games with incomplete information ; Repeated games ; Optimal strategies ; Algorithms ; Linear programming
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We consider zero-sum Markov games with incomplete information. Here, the second player is never informed about the current state of the underlying Markov chain. The existence of a value and of optimal strategies for both players is shown. In particular, we present finite algorithms for computing optimal strategies for the informed and uninformed player. The algorithms are based on linear programming results.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01217695
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Optimal greedy policies for stochastic control models (1996)
    Springer
    Mathematical methods of operations research 44 (1996), S. 115-133 
    Details
    ISSN: 1432-5217
    Keywords: Stochastic control models ; greedy policies ; error bounds ; MDP with an absorbing set ; deterministic dynamic programming
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We introduce the notion of a greedy policy for general stochastic control models. Sufficient conditions for the optimality of the greedy policy for finite and infinite horizon are given. Moreover, we derive error bounds if the greedy policy is not optimal. The main results are illustrated by Bayesian information models, discounted Bayesian search problems, stochastic scheduling problems, single-server queueing networks and deterministic dynamic programs.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01246332
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    Paper (German National Licenses)
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  • 3
    Electronic Resource
    Electronic Resource
    Monotonicity and bounds for convex stochastic control models (1994)
    Springer
    Mathematical methods of operations research 39 (1994), S. 187-207 
    Details
    ISSN: 1432-5217
    Keywords: Convex stochastic control models ; Monotonicity results ; Bounds ; Convex stochastic orderings and Blackwell ordering
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We consider a general convex stochastic control model. Our main interest concerns monotonicity results and bounds for the value functions and for optimal policies. In particular, we show how the value functions depend on the transition kernels and we present conditions for a lower bound of an optimal policy. Our approach is based on convex stochastic orderings of probability measures. We derive several interesting sufficient conditions of these ordering concepts, where we make also use of the Blackwell ordering. The structural results are illustrated by partially observed control models and Bayesian information models.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01415581
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    Paper (German National Licenses)
    Fulltext
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