A CHARACTERIZATION OF THE OPTIMAL RISK-SENSITIVE AVERAGE COST IN FINITE CONTROLLED MARKOV CHAINS 1
Rolando Cavazos–Cadena, Daniel Hernández–Hernández, Agraria Antonio Narro, Centro De Investigación En Matemáticas · 2005
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. 1. Introduction. This