Risk sensitive control of Markov processes in countable state space

被引：91

作者：

HernandezHernandez, D ^{[1
]}

Marcus, SI ^{[1
]}

机构：

[1] UNIV MARYLAND,DEPT ELECT ENGN,COLLEGE PK,MD 20742

来源：

SYSTEMS & CONTROL LETTERS | 1996年 / 29卷 / 03期

基金：

美国国家科学基金会;

关键词：

risk-sensitive control; stochastic dynamic games; Isaacs equation; stochastic control; average cost;

D O I：

10.1016/S0167-6911(96)00051-5

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 consider infinite horizon risk-sensitive control of Markov processes with discrete time and denumerable state space. This problem is solved by proving, under suitable conditions, that there exists a bounded solution to the dynamic programming equation. The dynamic programming equation is transformed into an Isaacs equation for a stochastic game, and the vanishing discount method is used to study its solution. In addition, we prove that the existence conditions are also necessary.

引用

页码：147 / 155

页数：9

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