Continuous-time Markov decision processes under the risk-sensitive average cost criterion
Optimization and Control
2015-12-22 v1
Abstract
This paper studies continuous-time Markov decision processes under the risk-sensitive average cost criterion. The state space is a finite set, the action space is a Borel space, the cost and transition rates are bounded, and the risk-sensitivity coefficient can take arbitrary positive real numbers. Under the mild conditions, we develop a new approach to establish the existence of a solution to the risk-sensitive average cost optimality equation and obtain the existence of an optimal deterministic stationary policy.
Cite
@article{arxiv.1512.06641,
title = {Continuous-time Markov decision processes under the risk-sensitive average cost criterion},
author = {Qingda Wei and Xian Chen},
journal= {arXiv preprint arXiv:1512.06641},
year = {2015}
}
Comments
14 pages