Risk-sensitive optimal control for Markov decision processes with monotone cost

Risk-sensitive optimal control for Markov decision processes with monotone cost

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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: ,
Keywords: markov processes, risk
Abstract:

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.

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