Controlled Semi-Markov Chains with Risk-Sensitive Average Cost Criterion.
Selene Chávez-RodríguezRolando Cavazos-CadenaHugo Cruz-SuárezPublished in: J. Optim. Theory Appl. (2016)
Keyphrases
- risk sensitive
- markov chain
- average cost
- finite state
- markov decision chains
- markov decision processes
- steady state
- state space
- transition probabilities
- optimal control
- monte carlo
- markov model
- finite horizon
- random walk
- stationary distribution
- optimality criterion
- finite number
- long run
- optimal policy
- initial state
- control policy
- multistage
- markov decision problems
- reinforcement learning
- average reward
- special case
- partially observable markov decision processes
- model checking
- linear program
- markov decision process
- policy iteration
- queue length
- machine learning
- computational complexity
- utility function