A poisson equation for the risk-sensitive average cost in semi-markov chains.
Rolando Cavazos-CadenaPublished in: Discret. Event Dyn. Syst. (2016)
Keyphrases
- markov chain
- average cost
- risk sensitive
- poisson equation
- finite state
- boundary conditions
- markov decision chains
- markov decision processes
- steady state
- state space
- transition probabilities
- markov model
- random walk
- long run
- finite horizon
- optimal control
- optimal policy
- markov decision problems
- finite number
- control policy
- initial state
- linear programming
- policy iteration
- markov decision process
- multistage
- infinite horizon
- utility function
- dynamical systems
- linear program
- sensitivity analysis