Risk-sensitive control of discrete-time Markov processes with infinite horizon

Risk-sensitive control of discrete-time Markov processes with infinite horizon

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Article ID: iaor2002908
Country: United States
Volume: 38
Issue: 1
Start Page Number: 61
End Page Number: 78
Publication Date: Dec 1999
Journal: SIAM Journal on Control and Optimization
Authors: ,
Keywords: programming: dynamic
Abstract:

In this paper we study existence of solutions to the Bellman equation corresponding to risk-sensitive ergodic control of discrete-time Markov processes using three different approaches. Also, for particular classes of systems, asymptotics for vanishing risk factor is investigated, showing that in the limit the optimal value for an average cost per unit time is obtained.

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