Infinite horizon risk sensitive control of discrete time Markov processes with small risk

Author:

Masi G.B.Di,Stettner Ł.

Publisher

Elsevier BV

Subject

Electrical and Electronic Engineering,Mechanical Engineering,General Computer Science,Control and Systems Engineering

Reference7 articles.

1. G. Avila-Goday, E. Fernández-Gaucherand, Controlled Markov chains with exponential risk sensitive criteria: modularity, structured policies and applications, Proceedings 37th IEEE CDC, December 1998, Tampa, FL, pp. 778–783.

2. A. Bran-Rojas, R. Cavazos-Cadena, E. Fernández-Gaucherand, Controlled Markov chains with risk sensitive criteria: some (counter) examples, Proceedings 37th IEEE CDC, December 1998, Tampa, FL, pp. 1853–1858.

3. Controlled Markov chains with risk-sensitive criteria: average cost, optimality equations and optimal solutions;Cavazos-Cadena;Math. Methods Oper. Res.,1999

4. Risk sensitive control of discrete time Markov processes with infinite horizon;Di Masi;SIAM J. Control Optim.,2000

5. Risk sensitive control of finite state machines on an infinite horizon;Fleming;SIAM J. Control Optim.,1997

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