Singular Perturbations in Risk-Sensitive Stochastic Control.

Vivek S. Borkar K. Suresh Kumar

Published in: SIAM J. Control. Optim. (2010)

Keyphrases

risk sensitive
stochastic control
optimal control
control problems
brownian motion
dynamic programming
control strategy
infinite horizon
reinforcement learning
average cost
queueing systems
utility function
real time
multistage
markov decision processes
expected utility