A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains
A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains
复制标题
有限受控马尔可夫链中最优风险敏感平均成本的表征
DOI：
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
D. Hernández
中科院分区：
文献类型：
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作者：
R. Cavazos;D. Hernández
这项工作涉及有限状态和行动空间的受控马尔可夫链。过渡法满足同时Doeblin条件，和控制策略的性能是衡量（长期）风险敏感的平均成本标准相关联的一个积极的，但在其他方面任意的风险敏感系数。在这种情况下，最佳的风险敏感的平均成本的特点是通过一个最小化问题，在有限维欧氏空间。
This work concerns controlled Markov chains with finite state and action spaces. The transition law satisfies the simultaneous Doeblin condition, and the performance of a control policy is measured by the (long-run) risk-sensitive average cost criterion associated to a positive, but otherwise arbitrary, risk sensitivity coefficient. Within this context, the optimal risk-sensitive average cost is characterized via a minimization problem in a finite-dimensional Euclidean space.