A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains (Q1774216): Difference between revisions

The paper deals with optimal control problems for Markov chains with finite state and action spaces when the performance index is given by the long-run risk-sensitive average cost criterion. It is assumed that the transition law of the controlled chain satisfies the simultaneous Doeblin condition. The main result characterizes for any positive risk-sensitivity coefficient the optimal value function as the infimum of a family of functions on the state space. It is then shown that for large values of the risk-sensitivity coefficient the optimal cost is not necessarily constant and the optimality equation may have no solution at all.