Article ID: | iaor20041144 |
Country: | Germany |
Volume: | 57 |
Issue: | 2 |
Start Page Number: | 263 |
End Page Number: | 285 |
Publication Date: | Jan 2003 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Cavazos-Cadena R. |
This work concerns discrete-time Markov decision processes with finite state space and bounded costs per stage. The decision maker ranks random costs via the expectation of the utility function associated to a constant risk sensitivity coefficient, and the performance of a control policy is measured by the corresponding (long-run) risk-sensitive average cost criterion. The main structural restriction on the system is the following communication assumption: For every pair of states