Successive approximations in partially observable controlled Markov chains with risk-sensitive average criterion

DOI10.1080/17442500500428833MaRDI QIDQ3368567zbMATH OpenOpenAlexFDO

Authors Rolando Cavazos-Cadena, Daniel Hernández-Hernández

Publication date 31 January 2006

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500500428833

zbMATH Keywords

Lipschitz normSchweitzer's transformationBirkhoff's distanceequicontinuity of the value iteration functionsreduction to a completely observable model

Mathematics Subject Classification ID

(H^infty)-control (93B36) Optimal stochastic control (93E20)

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Cites work

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• Small parameter limit for ergodic, discrete-time, partially observed, risk-sensitive control problems
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• The vanishing discount approach in Markov chains with risk-sensitive criteria

Cited in

(4)

• Controlled semi-Markov chains with risk-sensitive average cost criterion
• Nonstationary value iteration in controlled Markov chains with risk-sensitive average criterion
• Risk-sensitivity vanishing limit for controlled Markov processes
• A central limit theorem for normalized products of random matrices

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