A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains

• 成果类型: Article
• 署名作者: Cavazos-Cadena, R; Hernández-Hernández, D
• 署名单位: CIMAT - Centro de Investigacion en Matematicas
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051604000000585
• 发表日期: 2005
• 页码: 175-212
• 关键词: Discrete-time

摘要

This work concerns controlled Markov chains with finite state and action spaces. The transition law satisfies the simultaneous Doeblin condition, and the performance of a control policy is measured by the (long-run) risk-sensitive average cost criterion associated to a positive, but otherwise arbitrary, risk sensitivity coefficient. Within this context, the optimal risk-sensitive average cost is characterized via a minimization problem in a finite-dimensional Euclidean space.