Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions
type: Item
instance of: scholarly article
title: Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions
zbMATH Open document ID: 0953.93077
author: Rolando Cavazos-Cadena
author: Emmanuel Fernández-Gaucherand
published in: Mathematical Methods of Operations Research
publication date: 2000-05-07T00:00:00Z
review text: This paper deals with control problems of a discrete-time controlled Markov chain with denumerable state space. Endowing a risk sensitive average cost criterion, the authors obtained the following results, under a simultaneous Doeblin condition. If the risk sensitive coefficient is small enough, then the associated optimality equation has a bounded solution yielding a constant optimal cost. Moreover an optimal stationary policy is given, whenever a continuity-compact condition is satisfied.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 90C40
zbMATH DE Number: 1439904
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: discrete-time controlled Markov chain
zbMATH Keywords: risk sensitive
zbMATH Keywords: simultaneous Doeblin condition
reviewed by: Makiko Nisio
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1439904