Ergodic risk-sensitive control of Markov processes on countable state space revisited
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Publication:5864585
DOI10.1051/COCV/2022018zbMATH Open1493.90218arXiv2104.04825OpenAlexW3154013591WikidataQ114011478 ScholiaQ114011478MaRDI QIDQ5864585FDOQ5864585
Authors: Anup Biswas, Somnath Pradhan 
Publication date: 8 June 2022
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Abstract: We consider a large family of discrete and continuous time controlled Markov processes and study an ergodic risk-sensitive minimization problem. Under a blanket stability assumption, we provide a complete analysis to this problem. In particular, we establish uniqueness of the value function and verification result for optimal stationary Markov controls, in addition to the existence results. We also revisit this problem under a near-monotonicity condition but without any stability hypothesis. Our results also include policy improvement algorithms both in discrete and continuous time frameworks.
Full work available at URL: https://arxiv.org/abs/2104.04825
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stochastic representationrisk-sensitive controlMarkov decision problemergodic cost criterionverification resultnear-monotone cost
Decision theory (91B06) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov and semi-Markov decision processes (90C40)
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