An optimality system for finite average Markov decision chains under risk-aversion

Title:

An optimality system for finite average Markov decision chains under risk-aversion

Creator:

Alanís-Durán, Alfredo and Cavazos-Cadena, Rolando

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:b4e8eafd-8281-4e09-bd40-9543fc62c23f
uuid:b4e8eafd-8281-4e09-bd40-9543fc62c23f

Subject:

partition of the state space, nonconstant optimal average cost, discounted approximations to the risk-sensitive average cost criterion, and equality of superior and interior limit risk-averse average criteria

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

This work concerns controlled Markov chains with finite state space and compact action sets. The decision maker is risk-averse with constant risk-sensitivity, and the performance of a control policy is measured by the long-run average cost criterion. Under standard continuity-compactness conditions, it is shown that the (possibly non-constant) optimal value function is characterized by a system of optimality equations which allows to obtain an optimal stationary policy. Also, it is shown that the optimal superior and inferior limit average cost functions coincide.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[83]-104

Source:

Kybernetika | 2012 Volume:48 | Number:1

Harvested from:

CDK

Metadata only:

false