Quantile Markov Decision Processes

The goal of a traditional Markov decision process (MDP) is to maximize expected cumulative reward over a defined horizon (possibly infinite). In many applications, however, a decision maker may be interested in optimizing a specific quantile of the cumulative reward instead of its expectation. In th...

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Bibliographic Details

Published in:	Operations research Vol. 70; no. 3; p. 1428
Main Authors:	Li, Xiaocheng, Zhong, Huaiyang, Brandeau, Margaret L
Format:	Journal Article
Language:	English
Published:	United States 01.05.2022
Subjects:	Markov Decision Process Dynamic Programming Risk Measure Quantile Medical Decision Making
ISSN:	0030-364X
Online Access:	Get more information
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