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Risk-sensitive optimal control for Markov decision processes with monotone cost. (English) Zbl 1082.90577
Summary: 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. A solution can be found constructively using either value iteration or policy iteration under suitable conditions on initial feedback law.

MSC:
90C40 Markov and semi-Markov decision processes
90B22 Queues and service in operations research
93E20 Optimal stochastic control
49L20 Dynamic programming in optimal control and differential games
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