On the relative value iteration with a risk-sensitive criterion
Optimization and Control
2019-12-19 v1 Probability
Abstract
A multiplicative relative value iteration algorithm for solving the dynamic programming equation for the risk-sensitive control problem is studied for discrete time controlled Markov chains with a compact Polish state space, and controlled diffusions in on the whole Euclidean space. The main result is a proof of convergence to the desired limit in each case.
Cite
@article{arxiv.1912.08758,
title = {On the relative value iteration with a risk-sensitive criterion},
author = {Ari Arapostathis and Vivek S. Borkar},
journal= {arXiv preprint arXiv:1912.08758},
year = {2019}
}
Comments
14 pages