期刊
ANNALS OF APPLIED PROBABILITY
卷 17, 期 2, 页码 654-675出版社
INST MATHEMATICAL STATISTICS
DOI: 10.1214/105051606000000790
关键词
risk-sensitive control; Borel state space; average cost optimality inequal
This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded. Using the vanishing discount factor approach, the optimality inequality and an optimal stationary strategy for the decision maker are established.
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