1 research outputs found
A Characterization of the optimal risk-Sensitive average cost in finite controlled Markov chains
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.Comment: Published at http://dx.doi.org/10.1214/105051604000000585 in the
Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute
of Mathematical Statistics (http://www.imstat.org