Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space
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DOI: 10.1007/s001860200256
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Cited by:
- Daniel Hernández Hernández & Diego Hernández Bustos, 2017. "Local Poisson Equations Associated with Discrete-Time Markov Control Processes," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 1-29, April.
- Karel Sladký, 2013. "Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 7(3), pages 146-161, November.
- Selene Chávez-Rodríguez & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2015. "Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(3), pages 269-298, June.
- Rolando Cavazos-Cadena & Daniel Hernández-Hernández, 2011. "Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space," Mathematics of Operations Research, INFORMS, vol. 36(1), pages 133-146, February.
- Rolando Cavazos-Cadena, 2009. "Solutions of the average cost optimality equation for finite Markov decision chains: risk-sensitive and risk-neutral criteria," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 541-566, December.
- Rolando Cavazos-Cadena & Raúl Montes-de-Oca, 2003. "The Value Iteration Algorithm in Risk-Sensitive Average Markov Decision Chains with Finite State Space," Mathematics of Operations Research, INFORMS, vol. 28(4), pages 752-776, November.
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Keywords
AMS Subject Classifications: Primary; 90C40; 93E20; Secondary; 60J05; Key words: Exponential utility function; Constant risk sensitivity; Constant average cost; Weak communication condition; Contractive Operator;All these keywords.
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