Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains

DOI10.1287/moor.2017.0893zbMath1443.91109OpenAlexW2790589607MaRDI QIDQ5219681

Rolando Cavazos-Cadena

Publication date: 12 March 2020

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

Full work available at URL: https://doi.org/10.1287/moor.2017.0893

zbMATH Keywords

certainty equivalenthitting timeexponential utilityrisk-averse controllerCollatz-Wielandt relationstrict optimality inequalitytotal relative cost

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Markov and semi-Markov decision processes (90C40)

Related Items (10)

Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes ⋮ Contractive approximations in average Markov decision chains driven by a risk-seeking controller ⋮ Certainty equivalent control of discrete time Markov processes with the average reward functional ⋮ Average criteria in denumerable semi-Markov decision chains under risk-aversion ⋮ Markov decision processes under risk sensitivity: a discount vanishing approach ⋮ Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller ⋮ Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion ⋮ Maximizing the probability of visiting a set infinitely often for a countable state space Markov decision process ⋮ A discounted approach in communicating average Markov decision chains under risk-aversion ⋮ “Controlled” Versions of the Collatz–Wielandt and Donsker–Varadhan Formulae

Uses Software

• MCQueue

Cites Work

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