Nonstationary value iteration in controlled Markov chains with risk-sensitive average criterion
From MaRDI portal
Publication:5476137
DOI10.1239/JAP/1134587805zbMath1105.90101OpenAlexW1986667174MaRDI QIDQ5476137
Rolando Cavazos-Cadena, Raúl Montes-De-oca
Publication date: 29 June 2006
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1134587805
Birkhoff's contraction coefficientSchweitzer's transformationapproximate solution to the optimality equationnonstationary successive approximations algorithm
Related Items (4)
Unnamed Item ⋮ On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions ⋮ Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria ⋮ On the relative value iteration with a risk-sensitive criterion
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Necessary and sufficient conditions for a bounded solution to the optimality equation in average reward Markov decision chains
- Nonstationary Markov decision problems with converging parameters
- Non-negative matrices and Markov chains. 2nd ed
- An alternative derivation of Birkhoff's formula for the contraction coefficient of a positive matrix.
- Infinite horizon risk sensitive control of discrete time Markov processes with small risk
- Adaptive Markov control processes
- Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
- Iterative solution of the functional equations of undiscounted Markov renewal programming
- Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
- Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
- The Value Iteration Algorithm in Risk-Sensitive Average Markov Decision Chains with Finite State Space
This page was built for publication: Nonstationary value iteration in controlled Markov chains with risk-sensitive average criterion
