Contractive approximations in average Markov decision chains driven by a risk-seeking controller

Gustavo Portillo-Ramírez (), Rolando Cavazos-Cadena () and Hugo Cruz-Suárez ()
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Gustavo Portillo-Ramírez: Benemérita Universidad Autónoma de Puebla
Rolando Cavazos-Cadena: Universidad Autónoma Agraria Antonio Narro
Hugo Cruz-Suárez: Benemérita Universidad Autónoma de Puebla

Mathematical Methods of Operations Research, 2023, vol. 98, issue 1, No 5, 75-91

Abstract: Abstract This work concerns with Markov decision processes on a denumerable state space. It is assumed that the performance of a control policy is measured by the average criterion associated with a risk-seeking controller with constant risk-sensitivity coefficient. The structural assumptions on the model ensure that the optimal average cost is constant, but it is possible that the optimalty equation does not admit a solution. In this context, a risk-sensitive version of the classical discounted approach is used to obtain convergent approximations to the optimal average cost, and to determine nearly optimal stationary policies.

Keywords: Risk-lover decision maker; Exponential utility; Contractive operator; Fixed point; Hölder’s inequality; 93E20; 93C55; 60J05 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00186-023-00825-0

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