Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions (Q1974577): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
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 |
Statements
Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions (English)
0 references
7 May 2000
0 references
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.
0 references
stochastic optimal control
0 references
discrete-time controlled Markov chain
0 references
risk sensitive
0 references
simultaneous Doeblin condition
0 references
