Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
نویسندگان
چکیده
The existence of an optimal feedback law is established for the risk sensitive optimal control problem with denumerable state space. The main assumptions imposed are irreducibility, and a near monotonicity condition on the one-step cost function. It is found that a solution can be found constructively using either value iteration or policy iteration under suitable conditions on initial feedback law.
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عنوان ژورنال:
- Math. Oper. Res.
دوره 27 شماره
صفحات -
تاریخ انتشار 2002