Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity
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DOI: 10.1007/s00186-015-0496-y
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- Rolando Cavazos-Cadena & Daniel Hernández-Hernández, 2003. "Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 56(3), pages 473-479, January.
- Rolando Cavazos-Cadena, 2003. "Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 57(2), pages 263-285, May.
- Ronald A. Howard & James E. Matheson, 1972. "Risk-Sensitive Markov Decision Processes," Management Science, INFORMS, vol. 18(7), pages 356-369, March.
- Rolando Cavazos-Cadena & Emmanuel Fernández-Gaucherand, 1999. "Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 49(2), pages 299-324, April.
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Keywords
Risk-sensitive optimality equation; Discounted approach; Uniformly bounded solutions to the optimality equation; Jensen’s inequality; Stopping times; Transient states; Continuity at risk-neutrality; 93E20; 60J05; 93C55;All these keywords.
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