Nearly optimal policies in risk-sensitive positive dynamic programming on discrete spaces.

DOI10.1007/S001860000068zbMath1038.90087OpenAlexW2091440890MaRDI QIDQ1403168

Rolando Cavazos-Cadena, Raúl Montes-De-oca

Publication date: 2000

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

Full work available at URL: https://doi.org/10.1007/s001860000068

zbMATH Keywords

utility functionrisk-aversionconstant risk-sensitivitydiscounted dynamic programming operatorOrnstein's theoremrisk-sensitive expected-total reward

Mathematics Subject Classification ID

Utility theory (91B16) Dynamic programming (90C39)

Related Items (4)

First Passage Exponential Optimality Problem for Semi-Markov Decision Processes ⋮ A note on negative dynamic programming for risk-sensitive control ⋮ Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates

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