Faculty of Business Administration
Visiting Scholar Seminar


Risk-sensitive infinite-horizon discounted piecewise deterministic
Markov decision processes

Yonghui HUANG
School of Mathematics, Sun Yat-Sen University


Venue: E22-3016
Date: 11 August 2022
Time: 11:00am – 12:30pm


This talk is concerned with risk-sensitive piecewise deterministic Markov decision processes, where the expected exponential utility of an infinite-horizon discounted reward is minimized. Both the transition rate and reward rate are allowed to be unbounded. Based on a dynamic programming observation, we introduce an auxiliary function with the time as an additional variable to analyze the problem, which is different from those with the risk-sensitive parameter as an additional variable in previous works. Under suitable assumptions, we establish the associated Hamilton-Jacobi-Bellman equation with the time as a differential variable, which leads to the existence of optimal policies depending on the time, explicitly showing that the risk-sensitive discounted optimal policies are not stationary.


Prof. Yonghui Huang received his Ph.D. degree in probability and statistics from Sun Yat-Sen University, Guangzhou, China, in 2010. He is currently an Associate Professor at the School of Mathematics, Sun Yat-Sen University. His research interests include Markov decision processes and stochastic games. Dr. Huang has now published more than 20 papers in international journals such as Mathematics of OR, EJOR., SIAM Journal of Optimization, SIAM Journal of Control Optimization, Advance Applied Probability, and Journal of Applied Probability.