Ergodic risk-sensitive control of Markov processes on countable state space revisited
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Publication:5864585
DOI10.1051/cocv/2022018zbMath1493.90218arXiv2104.04825OpenAlexW3154013591WikidataQ114011478 ScholiaQ114011478MaRDI QIDQ5864585
Publication date: 8 June 2022
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.04825
stochastic representationrisk-sensitive controlMarkov decision problemergodic cost criterionverification resultnear-monotone cost
Decision theory (91B06) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov and semi-Markov decision processes (90C40)
Related Items (5)
Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes ⋮ Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs ⋮ Certainty equivalent control of discrete time Markov processes with the average reward functional ⋮ Average criteria in denumerable semi-Markov decision chains under risk-aversion ⋮ Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion
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