On terminating Markov decision processes with a risk-averse objective function

Automatica

Volumn 37, Issue 9, 2001, Pages 1379-1386

  Patek, Stephen D ^a  

^a University of Virginia   (United States)

Author keywords

Dynamic programming; Risk sensitivity; Stochastic shortest paths

Indexed keywords

CONSTRAINT THEORY; COSTS; DECISION THEORY; DYNAMIC PROGRAMMING; ITERATIVE METHODS; MARKOV PROCESSES; PROBABILITY DENSITY FUNCTION; RISK ASSESSMENT;

BELLMAN EQUATION; EXPONENTIAL UTILIRT FUNCTIONS;

OPTIMAL CONTROL SYSTEMS;

EID: 0035452408     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0005-1098(01)00084-X     Document Type: Article

References (19)

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12. The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games
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14. Why discount? The rationale of discounting in optimisation problems