Risk-sensitive Semi-Markov Decision Problems with Discounted Cost and General Utilities
Optimization and Control
2021-01-13 v1
Abstract
In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite horizon problems. Using a state augmentation technique we characterise the value functions and also prescribe optimal controls.
Cite
@article{arxiv.2101.04510,
title = {Risk-sensitive Semi-Markov Decision Problems with Discounted Cost and General Utilities},
author = {Arnab Bhabak and Subhamay Saha},
journal= {arXiv preprint arXiv:2101.04510},
year = {2021}
}