1. An optimality system for finite average Markov decision chains under risk-aversion
- Creator:
- Alanís-Durán, Alfredo and Cavazos-Cadena, Rolando
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- partition of the state space, nonconstant optimal average cost, discounted approximations to the risk-sensitive average cost criterion, and equality of superior and interior limit risk-averse average criteria
- Language:
- English
- Description:
- This work concerns controlled Markov chains with finite state space and compact action sets. The decision maker is risk-averse with constant risk-sensitivity, and the performance of a control policy is measured by the long-run average cost criterion. Under standard continuity-compactness conditions, it is shown that the (possibly non-constant) optimal value function is characterized by a system of optimality equations which allows to obtain an optimal stationary policy. Also, it is shown that the optimal superior and inferior limit average cost functions coincide.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public