On the policy improvement algorithm for ergodic risk-sensitive control
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Publication:5001563
DOI10.1017/prm.2020.61zbMath1469.35166arXiv1912.04568OpenAlexW2994792149WikidataQ114117846 ScholiaQ114117846MaRDI QIDQ5001563
Anup Biswas, Somnath Pradhan, Aristotle Arapostathis
Publication date: 22 July 2021
Published in: Proceedings of the Royal Society of Edinburgh: Section A Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.04568
Nonlinear eigenvalue problems and nonlinear spectral theory for PDEs (35P30) Optimal stochastic control (93E20) Diffusion processes (60J60)
Related Items (7)
Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes ⋮ Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs ⋮ Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ Duality between large deviation control and risk-sensitive control for Markov decision processes ⋮ Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion ⋮ Ergodic risk-sensitive control of Markov processes on countable state space revisited
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