Continuous-time Markov decision processes under the risk-sensitive average cost criterion

Qingda Wei; Xian Chen

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arXiv · 1512.06641

Continuous-time Markov decision processes under the risk-sensitive average cost criterion

Qingda Wei·Xian Chen

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Abstract

This paper studies continuous-time Markov decision processes under the risk-sensitive average cost criterion. The state space is a finite set, the action space is a Borel space, the cost and transition rates are bounded, and the risk-sensitivity coefficient can take arbitrary positive real numbers. Under the mild conditions, we develop a new approach to establish the existence of a solution to the risk-sensitive average cost optimality equation and obtain the existence of an optimal deterministic stationary policy.

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Qingda Wei, Xian Chen. 2015-12-21. Continuous-time Markov decision processes under the risk-sensitive average cost criterion. https://arxiv.org/abs/1512.06641

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