A discount vanishing approximation for Markov decision processes with risk sensitivity

DOI10.1007/S10883-024-09691-3MaRDI QIDQ6568945zbMATH OpenFDO

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)

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)

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Cites work

• scientific article; zbMATH DE number 4154239 (Why is no real title available?)
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• Contractive Approximations for the Varadhan's Function on a Finite Markov Chain
• Discounted approximations for risk-sensitive average criteria in Markov decision chains with finite state space
• Discounted approximations in risk-sensitive average Markov cost chains with finite state space
• Discounted approximations to the risk-sensitive average cost in finite Markov chains
• Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
• Infinite horizon risk sensitive control of discrete time Markov processes with small risk
• More risk-sensitive Markov decision processes
• Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
• Risk-Sensitive Markov Decision Processes
• Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
• Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space
• Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria
• The discounted method and equivalence of average criteria for risk-sensitive Markov decision processes on Borel spaces
• The vanishing discount approach in Markov chains with risk-sensitive criteria
• Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion

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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