Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions (Q1974577): Difference between revisions
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Latest revision as of 06:25, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions |
scientific article |
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Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions (English)
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7 May 2000
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This paper deals with control problems of a discrete-time controlled Markov chain with denumerable state space. Endowing a risk sensitive average cost criterion, the authors obtained the following results, under a simultaneous Doeblin condition. If the risk sensitive coefficient is small enough, then the associated optimality equation has a bounded solution yielding a constant optimal cost. Moreover an optimal stationary policy is given, whenever a continuity-compact condition is satisfied.
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stochastic optimal control
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discrete-time controlled Markov chain
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risk sensitive
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simultaneous Doeblin condition
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