Stochastic Dominance-Constrained Markov Decision Processes

Electricity Procurement for Large Consumers with Second Order Stochastic Dominance Constraints

This paper presents a decision making approach for mid-term scheduling of large industrial consumers based on the recently introduced class of Stochastic Dominance (SD)- constrained stochastic programming. In this study, the electricity price in the pool as well as the rate of availability (unavailability) of the generating unit (forced outage rate) is considered as uncertain parameters. Th...

A Convex Analytic Approach to Risk-Aware Markov Decision Processes

Abstract. In classical Markov decision process (MDP) theory, we search for a policy that say, minimizes the expected infinite horizon discounted cost. Expectation is of course, a risk neutral measure, which does not su ce in many applications, particularly in finance. We replace the expectation with a general risk functional, and call such models risk-aware MDP models. We consider minimization ...

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

A Markovian Model for Dynamic and Constrained Resource Allocation Problems

An autonomous agent, allocating stochastic resources to incoming tasks, faces increasingly complex situations when formulating its control policy. These situations are often constrained by limited resources of the agent, time limits, physical constraints or other agents. All these reasons explain why complexity and state space dimension increase exponentially in size of considered problem. Unfo...

Structural Results on Optimal Transmission Scheduling: a Constrained Markov Decision Process Approach

The problem of transmission scheduling over a correlated time-varying wireless channel is formulated as a Constrained Markov Decision Process. The model includes a transmission buffer and finite state Markov model for time-varying radio channel and incoming traffic. The resulting cross-layer optimization problem is formulated to minimize the transmission cost under the constraint on a buffer co...