Risk-sensitive control of discrete-time Markov processes with infinite horizon

被引：112

作者：

Di Masi, GB

Stettner, L

机构：

[1] Univ Padua, Dipartimento Matemat Pura & Applicata, I-35131 Padua, Italy

[2] Polish Acad Sci, Inst Math, PL-00950 Warsaw, Poland

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1999年 / 38卷 / 01期

关键词：

controlled discrete-time Markov processes; exponential ergodic performance criterion; Bellman equation;

D O I：

10.1137/S0363012997320614

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper we study existence of solutions to the Bellman equation corresponding to risk-sensitive ergodic control of discrete-time Markov processes using three different approaches. Also, for particular classes of systems, asymptotics for vanishing risk factor is investigated, showing that in the limit the optimal value for an average cost per unit time is obtained.

引用

页码：61 / 78

页数：18

共 15 条

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Cavazos-Cadena R, 1999, MATH METHOD OPER RES, V49, P299

[2] DISCOUNTED MDP - DISTRIBUTION-FUNCTIONS AND EXPONENTIAL UTILITY MAXIMIZATION [J].