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Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property

JOURNAL ARTICLE published January 2007 in SIAM Journal on Control and Optimization

Authors: Giovanni B. Di Masi | Łukasz Stettner

https://doi.org/10.1137/040618631 Actions

Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon

JOURNAL ARTICLE published January 1999 in SIAM Journal on Control and Optimization

Authors: G. B. Di Masi | L. Stettner

https://doi.org/10.1137/s0363012997320614 Actions

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

https://doi.org/10.1137/22m1476757 Actions

Risk-Sensitive Control on an Infinite Time Horizon

JOURNAL ARTICLE published November 1995 in SIAM Journal on Control and Optimization

Authors: Wendell H. Fleming | William M. McEneaney

https://doi.org/10.1137/s0363012993258720 Actions

An Approach to Discrete-Time Stochastic Control Problems under Partial Observation

JOURNAL ARTICLE published January 1987 in SIAM Journal on Control and Optimization

Authors: Giovanni B. Di Masi | Wolfgang J. Runggaldier

https://doi.org/10.1137/0325003 Actions

On an Approximation of Average Cost per Unit Time Impulse Control of Markov Processes

JOURNAL ARTICLE published August 2022 in SIAM Journal on Control and Optimization

Research funded by Narodowe Centrum Nauki (2016/23/B/ST1/00479)

Authors: Lukasz Stettner

https://doi.org/10.1137/21m1434143 Actions

Approximate Fixed Point Iteration with an Application to Infinite Horizon Markov Decision Processes

JOURNAL ARTICLE published January 2008 in SIAM Journal on Control and Optimization

Authors: Anthony Almudevar

https://doi.org/10.1137/s0363012904441520 Actions

Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain

JOURNAL ARTICLE published January 2007 in SIAM Journal on Control and Optimization

Authors: Michael Taksar | Xudong Zeng

https://doi.org/10.1137/050639351 Actions

Finite- and Infinite-Horizon Shapley Games with Nonsymmetric Partial Observation

JOURNAL ARTICLE published January 2015 in SIAM Journal on Control and Optimization

Authors: Arnab Basu | Łukasz Stettner

https://doi.org/10.1137/141000336 Actions

Risk-Sensitive Markov Control Processes

JOURNAL ARTICLE published January 2013 in SIAM Journal on Control and Optimization

Authors: Yun Shen | Wilhelm Stannat | Klaus Obermayer

https://doi.org/10.1137/120899005 Actions

Risk-Sensitive Discounted Continuous-Time Markov Decision Processes with Unbounded Rates

JOURNAL ARTICLE published January 2019 in SIAM Journal on Control and Optimization

Research funded by National Natural Science Foundation of China (61773411,11701588)

Authors: Xianping Guo | Zhong-Wei Liao

https://doi.org/10.1137/18m1222016 Actions

Finite Time--Horizon Risk-Sensitive Control and the Robust Limit under a Quadratic Growth Assumption

JOURNAL ARTICLE published January 2002 in SIAM Journal on Control and Optimization

Authors: Francesca Da Lio | William M. McEneaney

https://doi.org/10.1137/s0363012998345159 Actions

Risk-Sensitive Control of Finite State Machines on an Infinite Horizon II

JOURNAL ARTICLE published January 1999 in SIAM Journal on Control and Optimization

Authors: Wendell H. Fleming | Daniel Hernández-Hernández

https://doi.org/10.1137/s0363012997321498 Actions

Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I

JOURNAL ARTICLE published September 1997 in SIAM Journal on Control and Optimization

Authors: W. H. Fleming | D. Hernández-Hernández

https://doi.org/10.1137/s0363012995291622 Actions

Infinite Horizon Optimization for Finite State Markov Chain

JOURNAL ARTICLE published November 1987 in SIAM Journal on Control and Optimization

Authors: Arie Leizarowitz

https://doi.org/10.1137/0325088 Actions

Long-Run Risk-Sensitive Impulse Control

JOURNAL ARTICLE published January 2020 in SIAM Journal on Control and Optimization

Research funded by Narodowe Centrum Nauki (2016/23/B/ST1/00479)

Authors: Damian Jelito | Marcin Pitera | Łukasz Stettner

https://doi.org/10.1137/19m1305355 Actions

A Convex Programming Approach for Discrete-Time Markov Decision Processes under the Expected Total Reward Criterion

JOURNAL ARTICLE published January 2020 in SIAM Journal on Control and Optimization

Authors: François Dufour | Alexandre Genadot

https://doi.org/10.1137/19m1255811 Actions

LQG Balancing for Continuous-Time Infinite-Dimensional Systems

JOURNAL ARTICLE published January 2007 in SIAM Journal on Control and Optimization

Authors: Mark R. Opmeer

https://doi.org/10.1137/050638229 Actions

Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay

JOURNAL ARTICLE published January 2010 in SIAM Journal on Control and Optimization

Authors: Jan Palczewski | Łukasz Stettner

https://doi.org/10.1137/080737848 Actions

Turnpike Property of Optimal Solutions of Infinite-Horizon Variational Problems

JOURNAL ARTICLE published July 1997 in SIAM Journal on Control and Optimization

Authors: A. J. Zaslavski

https://doi.org/10.1137/s036301299528935x Actions
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