On the General Utility of Discounted Markov Decision Processes
Yoshinobu Kadota, Masami Kurano, Masami Yasuda · International Transactions in Operational Research · 1998
We will discuss an expected utility of rewards which are generated by Markov decision processes. This is applied to the optimal stopping problem with a utility treatment. Also a combined model of the decision processes and the stopping problem, called a stopped Markov decision, is considered under the utility.