Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space

DOI10.1007/S001860200256zbMath1023.90076OpenAlexW2015035063MaRDI QIDQ1395376

Publication date: 26 June 2003

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860200256

zbMATH Keywords

exponential utility function contractive operator constant average cost constant risk sensitivity weak communication condition

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (8)

Unnamed Item ⋮ Local Poisson equations associated with discrete-time Markov control processes ⋮ Unnamed Item ⋮ Markov decision processes under risk sensitivity: a discount vanishing approach ⋮ The discounted method and equivalence of average criteria for risk-sensitive Markov decision processes on Borel spaces ⋮ Unnamed Item ⋮ Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria ⋮ Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity

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