Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
From MaRDI portal
Publication:5444233
DOI10.1137/040618631zbMath1141.93067OpenAlexW2049826699MaRDI QIDQ5444233
Łukasz Stettner, Giovanni B. Di Masi
Publication date: 25 February 2008
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/19fd256fb3648ed7c9b1d3a879f56aaef2a903ac
Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)
Related Items (54)
Continuous-time zero-sum games for markov decision processes with discounted risk-sensitive cost criterion on a general state space ⋮ Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes ⋮ Controlled semi-Markov chains with risk-sensitive average cost criterion ⋮ Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains ⋮ Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space ⋮ Dynamic Limit Growth Indices in Discrete Time ⋮ Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space ⋮ Zero-Sum Risk-Sensitive Stochastic Differential Games ⋮ Local Poisson equations associated with discrete-time Markov control processes ⋮ Risk sensitive control of pure jump processes on a general state space ⋮ Dynamic programming with value convexity ⋮ Discounted approximations to the risk-sensitive average cost in finite Markov chains ⋮ Average cost criterion induced by the regular utility function for continuous-time Markov decision processes ⋮ Risk-sensitive semi-Markov decision problems with discounted cost and general utilities ⋮ Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs ⋮ Contractive approximations in average Markov decision chains driven by a risk-seeking controller ⋮ On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions ⋮ Discounted approximations in risk-sensitive average Markov cost chains with finite state space ⋮ Certainty equivalent control of discrete time Markov processes with the average reward functional ⋮ Average criteria in denumerable semi-Markov decision chains under risk-aversion ⋮ Continuous-time Markov decision processes under the risk-sensitive average cost criterion ⋮ Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion ⋮ Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller ⋮ An eigenvalue approach to the risk sensitive control problem in near monotone case ⋮ Zero-sum risk-sensitive stochastic games on a countable state space ⋮ Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion ⋮ The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion ⋮ Risk-sensitive control of pure jump process on countable space with near monotone cost ⋮ Risk sensitive control of diffusions with small running cost ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded rates ⋮ Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion ⋮ Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions ⋮ A Poisson equation for the risk-sensitive average cost in semi-Markov chains ⋮ A Variational Formula for Risk-Sensitive Reward ⋮ Exit time and invariant measure asymptotics for small noise constrained diffusions ⋮ Exit time risk-sensitive control for systems of cooperative agents ⋮ A discounted approach in communicating average Markov decision chains under risk-aversion ⋮ Risk-sensitive average equilibria for discrete-time stochastic games ⋮ Zero-sum risk-sensitive stochastic games ⋮ Local Poisson equations associated with the Varadhan functional ⋮ Unnamed Item ⋮ Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion ⋮ Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria ⋮ Nonzero-Sum Risk-Sensitive Stochastic Games on a Countable State Space ⋮ Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains ⋮ Risk-Sensitive Discounted Continuous-Time Markov Decision Processes with Unbounded Rates ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ Contractive approximations in risk-sensitive average semi-Markov decision chains on a finite state space ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates ⋮ Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria ⋮ Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control ⋮ Ergodic risk-sensitive control of Markov processes on countable state space revisited ⋮ Risk-sensitive control for a class of diffusions with jumps ⋮ Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity
This page was built for publication: Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property