Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller

This work concerns Markov decision chains on a denumerable state space endowed with a bounded cost function. The performance of a control policy is assessed by a long-run average criterion as measured by a risk-seeking decision maker with constant risk-sensitivity. Besides standard continuity–compac...

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Veröffentlicht in:	Journal of applied probability 2024-03, Vol.61 (1), p.340-367
Hauptverfasser:	Cavazos-Cadena, Rolando, Cruz-Suárez, Hugo, Montes-de-Oca, Raúl
Format:	Artikel
Sprache:	eng
Schlagworte:	Cost function Dynamical systems Expected values Markov chains Mathematical functions Original Article Random variables Risk communication Utility functions
Online-Zugang:	Volltext
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