Risk-sensitive Semi-Markov Decision Problems with Discounted Cost and General Utilities

2021/01/12 by Bhabak, Arnab, Saha, Subhamay
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2101.04510

Abstract

In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite horizon problems. Using a state augmentation technique we characterise the value functions and also prescribe optimal controls.

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