Growth rates and average optimality in risk-sensitive Markov decision chains

zbMATH Open1154.90612MaRDI QIDQ3604335FDOQ3604335

Authors: Karel Sladký 

Publication date: 24 February 2009

Full work available at URL: https://eudml.org/doc/33922

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zbMATH Keywords

optimal growth ratesaverage optimal policiesrisk-sensitive Markov decision chains

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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Cited In (17)

• Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
• Title not available (Why is that?)
• Discounted approximations to the risk-sensitive average cost in finite Markov chains
• Risk-sensitive average optimality in Markov decision processes.
• Contractive approximations in average Markov decision chains driven by a risk-seeking controller
• A discounted approach in communicating average Markov decision chains under risk-aversion
• Portfolio management under drawdown constraint in discrete-time financial markets
• Average criteria in denumerable semi-Markov decision chains under risk-aversion
• Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
• Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller
• Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity
• The vanishing discount approach in a class of zero-sum finite games with risk-sensitive average criterion
• Local Poisson equations associated with discrete-time Markov control processes
• Contractive approximations in risk-sensitive average semi-Markov decision chains on a finite state space
• Discounted approximations in risk-sensitive average Markov cost chains with finite state space
• Markov decision processes with risk-sensitive criteria: an overview
• An optimality system for finite average Markov decision chains under risk-aversion

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