The Discounted Method and Equivalence of Average Criteria for Risk-Sensitive Markov Decision Processes on Borel Spaces

Author:

Cavazos-Cadena Rolando,Salem-Silva Francisco

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Reference24 articles.

1. Arapostathis, A., Borkar, V.K., Fernández-Gaucherand, E., Gosh, M.K., Marcus, S.I.: Discrete-time controlled Markov processes with average cost criteria: a survey. SIAM J. Control Optim. 31, 282–334 (1993)

2. Baras, J.S., James, M.R.: Robust and risk sensitive output feedback control for finite state machines and hidden Markov models. J. Math. Syst., Estim. Control 7, 371–374 (1997)

3. Cavazos-Cadena, R., Fernández-Gaucherand, E.: Controlled Markov chains with risk-sensitive criteria: average cost, optimality equations and optimal solutions. Math. Methods Oper. Res. 43, 121–139 (1999)

4. Cavazos-Cadena, R.: Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with Finite state space. Math. Methods Oper. Res. 57, 263–285 (2003)

5. Di Masi, G.B., Stettner, L.: Infinite horizon risk sensitive control of discrete time Markov processes with small risk. Syst. Control Lett. 40, 15–200 (2000)

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