Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains.
Rolando Cavazos-CadenaPublished in: Math. Methods Oper. Res. (2010)
Keyphrases
- markov decision chains
- average cost
- risk sensitive
- finite number
- markov decision processes
- optimal control
- long run
- finite state
- optimal policy
- linear programming
- infinite horizon
- optimality criterion
- utility function
- multistage
- total cost
- linear program
- finite horizon
- model free
- initial state
- mathematical model
- sufficient conditions
- markov chain
- partially observable
- dynamic programming
- markov decision problems
- control policy
- policy iteration
- decision making
- model checking