A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains (Q1774216): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
Property / arXiv ID | |||
Property / arXiv ID: math/0503478 / rank | |||
Normal rank |
Revision as of 22:59, 18 April 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains |
scientific article |
Statements
A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains (English)
0 references
29 April 2005
0 references
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.
0 references
risk-sensitive control
0 references
long-run average cost
0 references
characterization of optimal value function
0 references