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Average optimality for risk-sensitive control with general state space

JOURNAL ARTICLE published 1 April 2007 in The Annals of Applied Probability

Authors: Anna Jaśkiewicz

Finite state multi-armed bandit problems: sensitive-discount, average-reward and average-overtaking optimality

JOURNAL ARTICLE published 1 August 1996 in The Annals of Applied Probability

Authors: Michael N. Katehakis | Uriel G. Rothblum

A note on risk-sensitive control of invariant models

JOURNAL ARTICLE published November 2007 in Systems & Control Letters

Authors: Anna Jaśkiewicz

Risk-Sensitive Average Optimality in Markov Decision Chains

BOOK CHAPTER published in Operations Research Proceedings

Authors: Karel Sladký | Raúl Montes-de-Oca

Sensitive Discount Optimality in Controlled One-Dimensional Diffusions

JOURNAL ARTICLE published 1 June 1974 in The Annals of Probability

Authors: Martin L. Puterman

Average Optimality in Dynamic Programming with General State Space

JOURNAL ARTICLE published February 1993 in Mathematics of Operations Research

Authors: Manfred Schäl

Risk-sensitive average optimality in Markov decision processes

JOURNAL ARTICLE published 28 December 2018 in Kybernetika

Authors: Karel Sladký

Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space

JOURNAL ARTICLE published 1 May 2003 in Mathematical Methods of Operations Research (ZOR)

Authors: Rolando Cavazos-Cadena

Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes

JOURNAL ARTICLE published 28 February 2023 in SIAM Journal on Control and Optimization

Research funded by National Natural Science Foundation of China (12271454) | National Natural Science Foundation of China (12171170) | Natural Science Foundation of Fujian Province (2021J01308)

Authors: Xian Chen | Qingda Wei

Average optimality for continuous-time Markov decision processes in Polish spaces

JOURNAL ARTICLE published 1 May 2006 in The Annals of Applied Probability

Authors: Xianping Guo | Ulrich Rieder

A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains

JOURNAL ARTICLE published 1 February 2005 in The Annals of Applied Probability

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

Renewal Theory for Functionals of a Markov Chain with General State Space

JOURNAL ARTICLE published 1 June 1974 in The Annals of Probability

Authors: Harry Kesten

Risk sensitive control of pure jump processes on a general state space

JOURNAL ARTICLE published 17 February 2019 in Stochastics

Authors: Chandan Pal | Somnath Pradhan

On weak conditions and optimality inequality solutions in risk-sensitive controlled Markov processes with average criterion

PROCEEDINGS ARTICLE published in Proceedings of the 41st IEEE Conference on Decision and Control, 2002.

Authors: A. Brau-Rojas | E. Fernandez-Gaucherand

Average and diffusion approximation of stochastic evolutionary systems in an asymptotic split state space

JOURNAL ARTICLE published 1 February 2004 in The Annals of Applied Probability

Authors: Vladimir S. Korolyuk | Nikolaos Limnios

Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach

JOURNAL ARTICLE published 1 January 2003 in Mathematical Methods of Operations Research (ZOR)

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

Risk-sensitive control for a class of diffusions with jumps

JOURNAL ARTICLE published 1 December 2022 in The Annals of Applied Probability

Authors: Ari Arapostathis | Anup Biswas

Risk-sensitive control and an optimal investment model II

JOURNAL ARTICLE published 1 May 2002 in The Annals of Applied Probability

Authors: W. H. Fleming | S. J. Sheu

On the optimality equation for average cost Markov control processes with Feller transition probabilities

JOURNAL ARTICLE published April 2006 in Journal of Mathematical Analysis and Applications

Authors: Anna Jaśkiewicz | Andrzej S. Nowak

A Fixed Point Approach to Solve the Average Cost Optimality Equation for Semi-Markov Decision Processes with Feller Transition Probabilities

JOURNAL ARTICLE published 22 October 2007 in Communications in Statistics - Theory and Methods

Authors: Anna Jaśkiewicz