A Poisson equation for the risk-sensitive average cost in semi-Markov chains
type: Item
instance of: scholarly article
title: A Poisson equation for the risk-sensitive average cost in semi-Markov chains
zbMATH Open document ID: 1357.93089
author: Rolando Cavazos-Cadena
published in: Discrete Event Dynamic Systems
publication date: 2017-03-08T00:00:00Z
Mathematics Subject Classification ID: 93E03
Mathematics Subject Classification ID: 60J10
Mathematics Subject Classification ID: 93C10
zbMATH DE Number: 6692819
zbMATH Keywords: exponential utility
zbMATH Keywords: stopping time
zbMATH Keywords: non-linear certainty-equivalent
zbMATH Keywords: communicating underlying chain
describes a project that uses: MCQueue
MaRDI profile type: Publication
full work available at URL: s10626-015-0224-z
OpenAlex ID: W2239839192
cites work: An optimality system for finite average Markov decision chains under risk-aversion
cites work: Markov decision processes with applications to finance.
cites work: More Risk-Sensitive Markov Decision Processes
cites work: SEMI-MARKOV DECISION PROCESSES
cites work: Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria
cites work: Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions
cites work: A survey of Markov decision models for control of networks of queues
cites work: A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains
cites work: Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
cites work: Infinite horizon risk sensitive control of discrete time Markov processes with small risk
cites work: Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
cites work: Risk sensitive control of Markov processes in countable state space
cites work: Existence of risk-sensitive optimal stationary policies for controlled Markov processes
cites work: Risk-Sensitive Markov Decision Processes
cites work: Optimal replacement of a system according toa semi-Markov decision process in a semi-Markov environment
cites work: Average optimality for risk-sensitive control with general state space
cites work: On Average Reward Semi-Markov Decision Processes with a General Multichain Structure
cites work: Semi-Markov control models with average costs
cites work: Scheduling
cites work: Iterative solution of the functional equations of undiscounted Markov renewal programming
cites work: Q4223191
cites work: Q5291082
DOI: 10.1007/S10626-015-0224-Z
description: scientific article; zbMATH DE number 6692819