Average optimality for risk-sensitive control with general state space

• 成果类型: Article
• 署名作者: Jaskiewicz, Anna
• 署名单位: Wroclaw University of Science & Technology
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051606000000790
• 发表日期: 2007
• 页码: 654-675
• 关键词: feller transition-probabilities; markov decision-processes; infinite-horizon; DISCRETE-TIME; games; cost; management; criteria; policies; chains

摘要

This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded. Using the vanishing discount factor approach, the optimality inequality and an optimal stationary strategy for the decision maker are established.