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

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

A note on risk-sensitive control of invariant models

JOURNAL ARTICLE published November 2007 in Systems & Control Letters

Authors: Anna Jaśkiewicz

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

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

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

Risk-Sensitive Average Optimality in Markov Decision Chains

BOOK CHAPTER published in Operations Research Proceedings

Authors: Karel Sladký | Raúl Montes-de-Oca

Scheduling control for queueing systems with many servers: Asymptotic optimality in heavy traffic

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

Authors: Rami Atar

Sensitive Discount Optimality in Controlled One-Dimensional Diffusions

JOURNAL ARTICLE published 1 June 1974 in The Annals of Probability

Authors: Martin L. Puterman

Sequential Monte Carlo smoothing for general state space hidden Markov models

JOURNAL ARTICLE published 1 December 2011 in The Annals of Applied Probability

Authors: Randal Douc | Aurélien Garivier | Eric Moulines | Jimmy Olsson

Average Optimality in Dynamic Programming with General State Space

JOURNAL ARTICLE published February 1993 in Mathematics of Operations Research

Authors: Manfred Schäl

Some relations between mutual information and estimation error in Wiener space

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

Authors: Eddy Mayer-Wolf | Moshe Zakai

Risk-sensitive average optimality in Markov decision processes

JOURNAL ARTICLE published 28 December 2018 in Kybernetika

Authors: Karel Sladký

Control of end-to-end delay tails in a multiclass network: LWDF discipline optimality

JOURNAL ARTICLE published 1 August 2003 in The Annals of Applied Probability

Authors: Alexander L. Stolyar

A general lower bound for mixing of single-site dynamics on graphs

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

Authors: Thomas P. Hayes | Alistair Sinclair

Dynamic control of Brownian networks: state space collapse and equivalent workload formulations

JOURNAL ARTICLE published 1 August 1997 in The Annals of Applied Probability

Authors: J. Michael Harrison | Jan A. Van Mieghem

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