| Autor: |
XIAN CHEN, QINGDA WEI |
| Předmět: |
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| Zdroj: |
SIAM Journal on Control & Optimization; 2024, Vol. 62 Issue 4, p2115-2147, 33p |
| Abstrakt: |
In this paper we study discrete-time Markov decision processes with Borel state and action spaces under the risk-sensitive average cost criterion. The cost function can be unbounded. We introduce a new kernel and prove the quasi-compactness of the kernel from which the multiplicative Poisson equation is derived. Moreover, we develop a new approach to show the existence of a solution to the risk-sensitive average cost optimality equation and obtain the existence of an optimal deterministic stationary policy. Furthermore, we give two examples to illustrate our results. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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