Optimal stationary policies inrisk-sensitive dynamic programs with finite state spaceand nonnegative rewards

DOI10.4064/AM-27-2-167-185MaRDI QIDQ4522998zbMATH OpenOpenAlexFDO

Authors Rolando Cavazos-Cadena, Raúl Montes-de-Oca

Publication date 7 January 2001

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/219265

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)

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Cited in

(12)

• Nearly optimal stationary policies in negative dynamic programming
• Nearly optimal policies in risk-sensitive positive dynamic programming on discrete spaces.
• Existence of risk-sensitive optimal stationary policies for controlled Markov processes
• On risk-sensitive piecewise deterministic Markov decision processes
• Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
• Existence of optimal stationary policies in finite dynamic programs with nonnegative rewards. An alternative approach
• About stability of risk-seeking optimal stopping
• Stationary optimal policies in a class of multichain positive dynamic programs with finite state space and risk-sensitive criterion
• First Passage Exponential Optimality Problem for Semi-Markov Decision Processes
• Continuous-time Markov decision processes with exponential utility
• scientific article; zbMATH DE number 2189772 (Why is no real title available?)
• A note on negative dynamic programming for risk-sensitive control

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