Blackwell optimality and policy stability for long-run risk sensitive stochastic control

2024/06/22 by Bäuerle, Nicole, Pitera, Marcin, Stettner, Łukasz
#60J05 #60J35 #90C39 #90C40 #93C55 #93E20 #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)

paper · doi:10.48550/arxiv.2406.15952

Abstract

This paper analyzes the stability of optimal policies in the long-run stochastic control framework with an averaged risk-sensitive criterion for discrete-time MDPs on finite state-action space. In particular, we study the robustness of optimal controls when perturbations to the risk-aversion parameter are applied, and investigate the Blackwell property, together with its link to the risk-sensitive vanishing discount approximation framework. Finally, we present examples that help to better understand the intricacies of the risk-sensitive control framework.

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