Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10523891 | Operations Research Letters | 2016 | 6 Pages |
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 any positive real number. 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Qingda Wei, Xian Chen,