A discount vanishing approximation for Markov decision processes with risk sensitivity

DOI10.1007/S10883-024-09691-3MaRDI QIDQ6568945FDOQ6568945

Authors: Tanhao Huang, Xiaoyang Lu, Jinwen Chen 

Publication date: 8 July 2024

Published in: Journal of Dynamical and Control Systems (Search for Journal in Brave)

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• Markov decision processes under risk sensitivity: a discount vanishing approach
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zbMATH Keywords

Markov decision processoptimal controlrisk-sensitive average rewardvanishing discount approximation

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Markov and semi-Markov decision processes (90C40) Nonlinear spectral theory, nonlinear eigenvalue problems (47J10)

Cites Work

• Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
• Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
• Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria
• Infinite horizon risk sensitive control of discrete time Markov processes with small risk
• Average optimality for risk-sensitive control with general state space
• An optimality system for finite average Markov decision chains under risk-aversion
• More risk-sensitive Markov decision processes
• Risk-Sensitive Markov Decision Processes
• Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
• A system of Poisson equations for a nonconstant Varadhan functional on a finite state space
• Contractive Approximations for the Varadhan's Function on a Finite Markov Chain
• The discounted method and equivalence of average criteria for risk-sensitive Markov decision processes on Borel spaces
• Discounted approximations for risk-sensitive average criteria in Markov decision chains with finite state space
• Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space
• Title not available (Why is that?)
• Discounted approximations to the risk-sensitive average cost in finite Markov chains
• Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
• Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
• The vanishing discount approach in Markov chains with risk-sensitive criteria
• Discounted approximations in risk-sensitive average Markov cost chains with finite state space

Cited In (2)

• Markov decision processes under risk sensitivity: a discount vanishing approach
• Risk-sensitivity vanishing limit for controlled Markov processes

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