Discounted approximations in risk-sensitive average Markov cost chains with finite state space

DOI10.1007/s00186-019-00689-3zbMath1442.62188OpenAlexW2993468766WikidataQ126628959 ScholiaQ126628959MaRDI QIDQ2189473

Rolando Cavazos-Cadena, Rubén Blancas-Rivera, Hugo Cruz-Suárez

Publication date: 15 June 2020

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

Full work available at URL: https://doi.org/10.1007/s00186-019-00689-3

zbMATH Keywords

certainty equivalentexponential utilityvanishing discount methodlargest discounted cost from a given stateuniform discounted approximations

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (2)

Markov decision processes under risk sensitivity: a discount vanishing approach ⋮ Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control

Uses Software

• MCQueue

Cites Work

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