Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space.
Rolando Cavazos-CadenaDaniel Hernández-HernándezPublished in: Math. Oper. Res. (2011)
Keyphrases
- markov decision chains
- average cost
- finite state
- risk sensitive
- markov decision processes
- markov chain
- optimal policy
- finite horizon
- model checking
- action space
- long run
- infinite horizon
- initial state
- stationary policies
- linear programming
- optimal control
- partially observable markov decision processes
- finite number
- search space
- policy iteration
- dynamic programming
- control policy
- radial basis function
- markov decision process
- linear program
- multistage
- markov decision problems