Nonzero-sum risk-sensitive stochastic differential games: A multi-parameter eigenvalue problem approach.
Mrinal K. GhoshK. Suresh KumarChandan PalSomnath PradhanPublished in: Syst. Control. Lett. (2023)
Keyphrases
- risk sensitive
- control policies
- optimal control
- markov decision processes
- utility function
- model free
- markov decision chains
- expected utility
- real time
- game theory
- decision theoretic
- monte carlo
- stochastic processes
- stochastic optimization
- least squares
- markov decision problems
- optimality criterion
- decision problems
- steady state
- sufficient conditions
- machine learning