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


Autoria(s): Borkar, VS; Meyn, SP
Data(s)

01/02/2002

Resumo

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.

Formato

application/pdf

Identificador

http://eprints.iisc.ernet.in/39383/1/RISK-SENSITIVE.pdf

Borkar, VS and Meyn, SP (2002) Risk-sensitive optimal control for Markov decision processes with monotone cost. In: Mathematics of Operations Research, 27 (1). pp. 192-209.

Publicador

INFORMS

Relação

http://www.jstor.org/stable/3690669

http://eprints.iisc.ernet.in/39383/

Palavras-Chave #Others
Tipo

Journal Article

PeerReviewed