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A Markov Decision Model for a Surveillance Application and Risk-Sensitive Markov Decision Processes

Ott, Jonathan Theodor

Abstract:

First, we model the dynamics of threat of an infrastructure as a continuous-time Markov decision process. Several structural results are derived. Furthermore, the model is approximately solved by using an index-based heuristics.
Second, we consider discrete-time Markov decision processes. The criterion is to minimize the average value-at-risk for the discounted cost over a finite and over an infinite horizon. Moreover, the average value-at-risk criterion is considered for the average cost.


Volltext §
DOI: 10.5445/IR/1000020835
Cover der Publikation
Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Hochschulschrift
Publikationsjahr 2010
Sprache Englisch
Identifikator urn:nbn:de:swb:90-208358
KITopen-ID: 1000020835
Verlag Karlsruher Institut für Technologie (KIT)
Art der Arbeit Dissertation
Fakultät Fakultät für Mathematik (MATH)
Institut Institut für Stochastik (STOCH)
Prüfungsdaten 03.11.2010
Schlagwörter Markov decision process, index rule, heuristics, average value-at-risk
Referent/Betreuer Bäuerle, N.
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