Solutions of the average cost optimality equation for finite Markov decision chains: risk-sensitive and risk-neutral criteria

Rolando Cavazos-Cadena ()

Mathematical Methods of Operations Research, 2009, vol. 70, issue 3, 566 pages

Abstract: This work is concerned with controlled Markov chains with finite state and action spaces. It is assumed that the decision maker has an arbitrary but constant risk sensitivity coefficient, and that the performance of a control policy is measured by the long-run average cost criterion. Within this framework, the existence of solutions of the corresponding risk-sensitive optimality equation for arbitrary cost function is characterized in terms of communication properties of the transition law. Copyright Springer-Verlag 2009

Keywords: Closed set; Arrival time; Constant average cost; Strong simultaneous Doeblin condition; Multiplicative optimality equation; 93E20; 60J05; 93C55 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00186-008-0277-y (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:70:y:2009:i:3:p:541-566

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/00186

DOI: 10.1007/s00186-008-0277-y

Access Statistics for this article

Mathematical Methods of Operations Research is currently edited by Oliver Stein

More articles in Mathematical Methods of Operations Research from Springer, Gesellschaft für Operations Research (GOR), Nederlands Genootschap voor Besliskunde (NGB)
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().