Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space
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Publication:1395376
DOI10.1007/s001860200256zbMath1023.90076MaRDI QIDQ1395376
Publication date: 26 June 2003
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860200256
exponential utility function; contractive operator; constant average cost; constant risk sensitivity; weak communication condition
60J05: Discrete-time Markov processes on general state spaces
93E20: Optimal stochastic control
90C40: Markov and semi-Markov decision processes
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