Optimal stationary policies inrisk-sensitive dynamic programs with finite state spaceand nonnegative rewards
Rolando Cavazos–Cadena, Raúl Montes-de-Oca · Applicationes Mathematicae · 2000
This work concerns controlled Markov chains with finite state space and nonnegative rewards; it is assumed that the controller has a constant risk-sensitivity, and that the performance ofa control policy is measured by a risk-sensitive expected total-rewa