A note on negative dynamic programming for risk-sensitive control

DOI10.1016/j.orl.2008.03.003zbMath1210.90171OpenAlexW2124480392MaRDI QIDQ957337

Anna Jaśkiewicz

Publication date: 27 November 2008

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2008.03.003

zbMATH Keywords

risk-sensitive controldynamic programming principleBorel state space

Mathematics Subject Classification ID

Dynamic programming (90C39)

Related Items (10)

Bio-inspired paradigms in network engineering games ⋮ A useful technique for piecewise deterministic Markov decision processes ⋮ Markov decision processes with iterated coherent risk measures ⋮ On risk-sensitive piecewise deterministic Markov decision processes ⋮ Continuous-Time Markov Decision Processes with Exponential Utility ⋮ Unnamed Item ⋮ First Passage Exponential Optimality Problem for Semi-Markov Decision Processes ⋮ A Variational Formula for Risk-Sensitive Reward ⋮ Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates ⋮ On gradual-impulse control of continuous-time Markov decision processes with exponential utility

Cites Work

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• Measurable selections of extrema
• Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
• Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
• A Utility Criterion for Markov Decision Processes
• Optimal stationary policies inrisk-sensitive dynamic programs with finite state spaceand nonnegative rewards
• Risk Aversion in the Small and in the Large
• Discounted Dynamic Programming
• Negative Dynamic Programming

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