| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1142680 | Operations Research Letters | 2008 | 4 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Anna JaÅkiewicz,