Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes.
Oswaldo L. V. CostaFrançois DufourPublished in: Math. Methods Oper. Res. (2021)
Keyphrases
- markov processes
- risk sensitive
- optimal control
- optimality criterion
- stochastic processes
- markov process
- markov chain
- utility function
- control policies
- random fields
- control strategies
- non stationary
- markov decision processes
- dynamic programming
- control system
- average cost
- mathematical model
- control strategy
- infinite horizon