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Volumn 49, Issue 2, 1999, Pages 299-324

Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions

Author keywords

Bounded solutions to the risk sensitive optimality equation; Constant average cost; Constant risk sensitivity; Controlled Markov chains; Exponential utility function; Simultaneous Doeblin condition

Indexed keywords


EID: 0001099755     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (41)

References (23)
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    • Borkar, V.K.1
  • 3
    • 0346816094 scopus 로고
    • Necessary conditions for the optimality equation in average reward Markov decision processes
    • Cavazos-Cadena R (1989) Necessary conditions for the optimality equation in average reward Markov decision processes. Journal of Applied Mathematics and Optimization 19:599-613
    • (1989) Journal of Applied Mathematics and Optimization , vol.19 , pp. 599-613
    • Cavazos-Cadena, R.1
  • 4
    • 0023826684 scopus 로고
    • Necessary and sufficient conditions for a bounded solution to the optimality equation in average reward Markov decision chains
    • Cavazos-Cadena R (1988) Necessary and sufficient conditions for a bounded solution to the optimality equation in average reward Markov decision chains. Systems & Control Letters 10:71-78
    • (1988) Systems & Control Letters , vol.10 , pp. 71-78
    • Cavazos-Cadena, R.1
  • 8
    • 0030291522 scopus 로고    scopus 로고
    • Risk sensitive control of Markov processes in countable state space
    • Hernández-Hernández D, Marcus SI (1996) Risk sensitive control of Markov processes in countable state space. Systems & Control Letters 29:147-155
    • (1996) Systems & Control Letters , vol.29 , pp. 147-155
    • Hernández-Hernández, D.1    Marcus, S.I.2
  • 10
    • 0003265935 scopus 로고
    • Foundations of non-stationary dynamic programming with discrete time parameter
    • Springer, New York
    • Hinderer K (1970) Foundations of non-stationary dynamic programming with discrete time parameter. Lecture Notes on Operations Research and Mathematical Systems, No. 33, Springer, New York
    • (1970) Lecture Notes on Operations Research and Mathematical Systems , vol.33
    • Hinderer, K.1
  • 11
    • 0347846953 scopus 로고
    • Dynamic programming and potential theory
    • Matematisch Centrum, Amsterdam
    • Hordjik A (1974) Dynamic programming and potential theory. Mathematical Centre Tract No. 51, Matematisch Centrum, Amsterdam
    • (1974) Mathematical Centre Tract No. 51 , vol.51
    • Hordjik, A.1
  • 12
    • 0000154793 scopus 로고
    • Risk-sensitive Markov decision processes
    • Howard RA, Matheson JE (1972) Risk-sensitive Markov decision processes. Management Sciences 18:356-369
    • (1972) Management Sciences , vol.18 , pp. 356-369
    • Howard, R.A.1    Matheson, J.E.2
  • 13
    • 0015615984 scopus 로고
    • Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
    • Jacobson DH (1973) Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games. IEEE Transactions on Automatic Control 18:124-131
    • (1973) IEEE Transactions on Automatic Control , vol.18 , pp. 124-131
    • Jacobson, D.H.1
  • 15
    • 0028416983 scopus 로고
    • Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
    • James MR, Baras JS, Elliot RJ (1994) Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems. IEEE Transactions on Automatic Control 39:780-792
    • (1994) IEEE Transactions on Automatic Control , vol.39 , pp. 780-792
    • James, M.R.1    Baras, J.S.2    Elliot, R.J.3
  • 19
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    • The equivalence between infinite horizon control of stochastic systems with exponential-of-integral performance index and stochastic differential games
    • Runolfsson T (1994) The equivalence between infinite horizon control of stochastic systems with exponential-of-integral performance index and stochastic differential games. IEEE Transactions on Automatic Control 39:1551-1563
    • (1994) IEEE Transactions on Automatic Control , vol.39 , pp. 1551-1563
    • Runolfsson, T.1
  • 20
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    • Connectedness conditions for denumerable state Markov decision processes
    • Hartley R, Thomas LC, White DJ (eds.) Academic press, New York
    • Thomas LC (1980) Connectedness conditions for denumerable state Markov decision processes. In: Hartley R, Thomas LC, White DJ (eds.) Recent advances in Markov decision processes, Academic press, New York
    • (1980) Recent Advances in Markov Decision Processes
    • Thomas, L.C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.