Masami Yasuda

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We consider utility-constrained Markov decision processes. The expected utility of the total discounted reward is maximized subject to multiple expected utility constraints. By introducing a corresponding Lagrange function, a saddle-point theorem of the utility constrained optimization is derived. The existence of a constrained optimal policy is(More)
In this paper, the well-known Egoroff's theorem in classical measure theory is established on monotone non-additive measure spaces. Taylor's theorem, which concerns almost everywhere convergence of measurable function sequence in classical measure theory, is also generalized. The converse problem of the theorems are discussed, and a necessary and sufficient(More)
A stopping problem for a dynamic fuzzy system with fuzzy rewards is formulated, which is thought of as a natural fuzziication of non-fuzzy stopping problem for a determistic dynamic system. And, the validity of the approach by-cuts of fuzzy sets will be discussed in constructing an optimal fuzzy stopping time. Also, a numerical example is given to(More)
We shall discuss further regularity properties of null-additive fuzzy measure on metric spaces following the previous results. Under the null-additivity condition, some properties of the inner/outer regularity and the regularity of fuzzy measure are shown. Also the strong regularity of fuzzy measure is discussed on complete separable metric spaces. As an(More)
To solve a mathematical model for American put option with uncertainty , we utilize two essentials, i.e., a λ−weighting function and a mean value of fuzzy random variables simultaneously. Estimation of randomness and fuzziness as uncertainty should be important when we deal with a reasonable and natural model extended from the original optimization/decision(More)