A Discounted Approach in Communicating Average Markov Decision Chains Under Risk-Aversion

Julio Saucedo-Zul (), Rolando Cavazos-Cadena () and Hugo Cruz-Suárez ()
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Julio Saucedo-Zul: Benemérita Universidad Autónoma de Puebla
Rolando Cavazos-Cadena: Universidad Autónoma Agraria Antonio Narro
Hugo Cruz-Suárez: Benemérita Universidad Autónoma de Puebla

Journal of Optimization Theory and Applications, 2020, vol. 187, issue 2, No 15, 585-606

Abstract: Abstract This work concerns with discrete-time Markov decision processes on a denumerable state space. Assuming that the decision maker is risk-averse with constant risk-sensitivity coefficient, the performance of a control policy is measured by an average criterion associated with a non-negative and bounded cost function. Under conditions ensuring that the optimal average cost is constant, but not necessarily determined via the average cost optimality equation, it is shown that a discounted criterion can be used to approximate the optimal average index.

Keywords: Contractive operator; Fixed point; Equivalence of inferior and superior limit average criteria; Exponential utility; Compact support; 93E20; 93C55; 60J05 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-020-01758-y

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