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

Borkar, V. S. ; Meyn, S. P. (2002) Risk-sensitive optimal control for Markov decision processes with monotone cost Mathematics of Operations Research, 27 (1). pp. 192-209. ISSN 0364-765X

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Official URL: http://portal.acm.org/citation.cfm?id=767831.76955...

Related URL: http://dx.doi.org/10.1287/moor.27.1.192.334

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 anear 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.

Item Type:Article
Source:Copyright of this article belongs to Institute for Operations Research and the Management Sciences.
ID Code:5331
Deposited On:18 Oct 2010 08:44
Last Modified:16 May 2016 15:51

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