A note on negative dynamic programming for risk-sensitive control

DOI10.1016/J.ORL.2008.03.003MaRDI QIDQ957337zbMATH OpenOpenAlexFDO

Authors Anna Jaskiewicz

Publication date 27 November 2008

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2008.03.003

zbMATH Keywords

dynamic programming principlerisk-sensitive controlBorel state space

Mathematics Subject Classification ID

Dynamic programming (90C39)

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Cites work

• scientific article; zbMATH DE number 700091 (Why is no real title available?)
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• scientific article; zbMATH DE number 3320878 (Why is no real title available?)
• A Utility Criterion for Markov Decision Processes
• Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
• Discounted Dynamic Programming
• Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
• Markov decision processes with a new optimality criterion: Discrete time
• Measurable selections of extrema
• Nearly optimal policies in risk-sensitive positive dynamic programming on discrete spaces.
• Negative Dynamic Programming
• Optimal stationary policies inrisk-sensitive dynamic programs with finite state spaceand nonnegative rewards
• Risk Aversion in the Small and in the Large

Cited in

(15)

• A note on risk-sensitive control of invariant models
• The Optimal Reward Operator in Negative Dynamic Programming
• A variational formula for risk-sensitive reward
• The exponential utility optimality for infinite horizon semi-Markov decision processes
• First Passage Exponential Optimality Problem for Semi-Markov Decision Processes
• Continuous-time Markov decision processes with exponential utility
• On gradual-impulse control of continuous-time Markov decision processes with exponential utility
• A useful technique for piecewise deterministic Markov decision processes
• Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
• Markov decision processes with iterated coherent risk measures
• scientific article; zbMATH DE number 3843524 (Why is no real title available?)
• Bio-inspired paradigms in network engineering games
• On some properties of the control problem under a program disturbance in a formalization based on the minimax risk (regret) criterion
• On risk-sensitive piecewise deterministic Markov decision processes
• Markov decision processes with risk-sensitive criteria: an overview

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