Continuous-time Markov decision processes under the risk-sensitive average cost criterion

2015/12/21 by Wei, Qingda, Chen, Xian
#90C40 #93E20 #FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.1512.06641

Abstract

This paper studies continuous-time Markov decision processes under the risk-sensitive average cost criterion. The state space is a finite set, the action space is a Borel space, the cost and transition rates are bounded, and the risk-sensitivity coefficient can take arbitrary positive real numbers. Under the mild conditions, we develop a new approach to establish the existence of a solution to the risk-sensitive average cost optimality equation and obtain the existence of an optimal deterministic stationary policy.

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