Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost

Authors:
V. S. Borkar;S. P. Meyn
Affiliations:
-;-
Venue:
Mathematics of Operations Research
Year:
2002

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Abstract

The existence of an optimal feedback law is established for the risk-sensitive optimal control problem with denumerable state space. The main assumptions imposed are irreducibility and anear monotonicity condition on the one-step cost function. A solution can be found constructively using either value iteration or policy iteration under suitable conditions on initial feedback law.