Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity
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Publication:2354013
DOI10.1007/s00186-015-0496-yzbMath1327.93410OpenAlexW2000529920MaRDI QIDQ2354013
Selene Chávez-Rodríguez, Rolando Cavazos-Cadena, Hugo Cruz-Suárez
Publication date: 10 July 2015
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-015-0496-y
stopping timestransient statesjensen's inequalitycontinuity at risk-neutralitydiscounted approachrisk-sensitive optimality equationuniformly bounded solutions to the optimality equation
Discrete-time Markov processes on general state spaces (60J05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)
Related Items
Discounted approximations to the risk-sensitive average cost in finite Markov chains, Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
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