A note on negative dynamic programming for risk-sensitive control

Authors:
Anna Jakiewicz
Affiliations:
Institute of Mathematics, Polish Academy of Sciences, ul. niadeckich 8, 00-956 Warszawa, Poland
Venue:
Operations Research Letters
Year:
2008

Citing 2
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Discounted MDP's: distribution functions and exponential utility maximization

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Abstract

Negative dynamic programming for risk-sensitive control is studied. Under some compactness and semicontinuity assumptions the following results are proved: the convergence of the value iteration algorithm to the optimal expected total reward, the Borel measurability or upper semicontinuity of the optimal value functions, and the existence of an optimal stationary policy.