Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
756651 | Systems & Control Letters | 2007 | 6 Pages |
Abstract
According to Assaf, a dynamic programming problem is called invariant if its transition mechanism depends only on the chosen action. This paper studies properties of risk-sensitive invariant problems with a general state space. The main result establishes the optimality equation for the risk-sensitive average cost criterion without any restrictions on the risk factor. Moreover, a practical algorithm is provided for solving the optimality equation in case of a finite action space.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Anna JaÅkiewicz,