Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity

DOI10.1007/s00186-015-0496-yzbMath1327.93410OpenAlexW2000529920MaRDI QIDQ2354013

Selene Chávez-Rodríguez, Rolando Cavazos-Cadena, Hugo Cruz-Suárez

Publication date: 10 July 2015

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

Full work available at URL: https://doi.org/10.1007/s00186-015-0496-y

zbMATH Keywords

stopping timestransient statesjensen's inequalitycontinuity at risk-neutralitydiscounted approachrisk-sensitive optimality equationuniformly bounded solutions to the optimality equation

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Related Items

Discounted approximations to the risk-sensitive average cost in finite Markov chains ⋮ Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion

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