Controlled Markov chains with risk-sensitive average cost criterion: the non-irreducible case.
Agustín Brau-RojasEmmanuel Fernández-GaucherandPublished in: CDC (2001)
Keyphrases
- markov chain
- risk sensitive
- average cost
- finite state
- markov decision chains
- optimality criterion
- markov decision processes
- steady state
- transition probabilities
- optimal control
- state space
- markov decision problems
- finite horizon
- markov model
- monte carlo
- average reward
- random walk
- optimal policy
- utility function
- stationary distribution
- finite number
- model free
- multistage
- initial state
- expected utility
- long run
- partially observable markov decision processes
- model checking
- markov decision process
- control policy
- partially observable
- dynamic programming