Long run stochastic control problems with general discounting

DOI10.1007/S00245-024-10118-5MaRDI QIDQ6128747zbMATH OpenOpenAlexFDO

Authors Łukasz Stettner

Publication date 16 April 2024

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2306.14224

zbMATH Keywords

general discounting average reward per unit time problemlong run risk sensitive problemMarkov decision processes

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

Abstract: Controlled discrete time Markov processes are studied first with long run general discounting functional. It is shown that optimal strategies for average reward per unit time problem are also optimal for average generally discounting functional. Then long run risk sensitive reward functional with general discounting is considered. When risk factor is positive then optimal value of such reward functional is dominated by the reward functional corresponding to the long run risk sensitive control. In the case of negative risk factor we get an asymptotical result, which says that optimal average reward per unit time control is nearly optimal for long run risk sensitive reward functional with general discounting, assuming that risk factor is close to $0$. For this purpose we show in Appendix upper estimates for large deviations of weighted empirical measures, which are of independent interest.

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Cited in

(3)

• Certainty equivalent control of discrete time Markov processes with the average reward functional
• Long-Run Impulse Control with Generalized Discounting
• Blackwell optimality and policy stability for long-run risk-sensitive stochastic control

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