Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions.
Rolando Cavazos-CadenaEmmanuel Fernández-GaucherandPublished in: Math. Methods Oper. Res. (1999)
Keyphrases
- average cost
- risk sensitive
- markov chain
- finite state
- optimal solution
- markov decision processes
- markov decision chains
- total cost
- state space
- steady state
- transition probabilities
- markov model
- finite horizon
- linear program
- linear programming
- random walk
- stationary distribution
- monte carlo
- optimal control
- optimality criterion
- finite number
- np hard
- long run
- markov decision problems
- optimal policy
- objective function
- control policy
- policy iteration
- markov decision process
- lower bound
- search space
- model checking
- multistage
- initial state
- partially observable markov decision processes
- search algorithm
- infinite horizon
- dynamic programming