Markov decision processes under risk sensitivity: a discount vanishing approach

DOI10.1016/j.jmaa.2023.128026OpenAlexW4389670436MaRDI QIDQ6146387

Jinwen Chen, Tanhao Huang

Publication date: 5 February 2024

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2023.128026

zbMATH Keywords

optimal controlMarkov decision processrisk-sensitive average rewardvanishing discount approximation

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Markov and semi-Markov decision processes (90C40) Optimality conditions for problems involving randomness (49K45)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The discounted method and equivalence of average criteria for risk-sensitive Markov decision processes on Borel spaces
• Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria
• Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space
• Infinite horizon risk sensitive control of discrete time Markov processes with small risk
• Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
• Spectral theory and limit theorems for geometrically ergodic Markov processes
• Multiplicative ergodicity and large deviations for an irreducible Markov chain.
• Risk sensitive portfolio optimization
• Discounted approximations in risk-sensitive average Markov cost chains with finite state space
• Discounted approximations to the risk-sensitive average cost in finite Markov chains
• Average optimality for risk-sensitive control with general state space
• A system of Poisson equations for a nonconstant Varadhan functional on a finite state space
• A risk-sensitive control dual approach to a large deviations control problem
• The vanishing discount approach in Markov chains with risk-sensitive criteria
• Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space
• Contractive Approximations for the Varadhan's Function on a Finite Markov Chain
• Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
• Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
• More Risk-Sensitive Markov Decision Processes
• Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
• Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains
• Risk-Sensitive Markov Decision Processes
• Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
• Duality between large deviation control and risk-sensitive control for Markov decision processes

This page was built for publication: Markov decision processes under risk sensitivity: a discount vanishing approach