Article ID: | iaor20033290 |
Country: | Germany |
Volume: | 56 |
Issue: | 3 |
Start Page Number: | 473 |
End Page Number: | 479 |
Publication Date: | Jan 2002 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Cavazos-Cadena R., Hernndez-Hernndez D. |
This note concerns Markov decision chains with finite state and action sets. The decision maker is assumed to be risk-averse with constant risk-sensitive coefficient λ, and the performance of a control policy is measured by the risk-sensitive average cost criterion. In their seminal paper Howard and Matheson established that, when the whole state space is a communicating class under the action of each stationary policy, then there exists a solution to the optimality equation for every λ > 0. This paper presents an alternative proof of this fundamental result, which explicitly highlights the essential role of the communication properties in the analysis of the risk-sensitive average cost criterion.