| Article ID: | iaor2004339 |
| Country: | United States |
| Volume: | 27 |
| Issue: | 1 |
| Start Page Number: | 192 |
| End Page Number: | 209 |
| Publication Date: | Feb 2002 |
| Journal: | Mathematics of Operations Research |
| Authors: | Borkar V.S., Meyn S.P. |
| Keywords: | markov processes, risk |
The existence of an optimal feedback law is established for the risk-sensitive optimal control problem with denumerable state space. The main assumptions imposed are irreducibility and a near monotonicity condition on the one-step cost function. A solution can be found constructively using either value iteration or policy iteration under suitable conditions on initial feedback law.