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Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions

JOURNAL ARTICLE published April 1999 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena | Emmanuel Fernández-Gaucherand

Solutions of the average cost optimality equation for finite Markov decision chains: risk-sensitive and risk-neutral criteria

JOURNAL ARTICLE published December 2009 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena

Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains

JOURNAL ARTICLE published February 2010 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena

Recent results in controlled Markov chains with risk sensitive average criteria: the vanishing discount approach

PROCEEDINGS ARTICLE published in Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304)

Authors: R. Cavazos-Cadena | E. Fernandez-Gaucherand

Denumerable controlled Markov chains with strong average optimality criterion: bounded and unbounded costs

PROCEEDINGS ARTICLE published in Proceedings of 1994 33rd IEEE Conference on Decision and Control

Authors: R. Cavazos-Cadena | E. Fernandez-Gaucherand

Controlled Markov chains with risk-sensitive criteria: some (counter) examples

PROCEEDINGS ARTICLE published in Proceedings of the 37th IEEE Conference on Decision and Control (Cat. No.98CH36171)

Authors: A. Brau-Rojas | R. Cavazos-Cadena | E. Fernandez-Gaucherand

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

Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains

JOURNAL ARTICLE published August 2018 in Mathematics of Operations Research

Authors: Rolando Cavazos-Cadena

Risk-Sensitive Optimal Control in Communicating Average Markov Decision Chains

BOOK CHAPTER published 2002 in International Series in Operations Research & Management Science

Authors: Rolando Cavazos-Cadena | Emmanuel Fernández-Gaucherand

Denumerable controlled Markov chains with strong average optimality criterion: Bounded & unbounded costs

JOURNAL ARTICLE published October 1996 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena | Emmanuel Fern�ndez-Gaucherand

Controlled Semi-Markov Chains with Risk-Sensitive Average Cost Criterion

JOURNAL ARTICLE published August 2016 in Journal of Optimization Theory and Applications

Research funded by PSF Organization (015/300/02) | PRODEP (17332-UAAAN-CA23)

Authors: Selene Chávez-Rodríguez | Rolando Cavazos-Cadena | Hugo Cruz-Suárez

The Discounted Method and Equivalence of Average Criteria for Risk-Sensitive Markov Decision Processes on Borel Spaces

JOURNAL ARTICLE published April 2010 in Applied Mathematics and Optimization

Authors: Rolando Cavazos-Cadena | Francisco Salem-Silva

The vanishing discount approach in Markov chains with risk-sensitive criteria

JOURNAL ARTICLE published October 2000 in IEEE Transactions on Automatic Control

Authors: R. Cavazos-Cadena | E. Fernandez-Gaucherand

Controlled Markov chains with risk-sensitive exponential average cost criterion

PROCEEDINGS ARTICLE published in Proceedings of the 36th IEEE Conference on Decision and Control

Authors: A. Brau | E. Fernandez-Gaucherand

Discounted approximations in risk-sensitive average Markov cost chains with finite state space

JOURNAL ARTICLE published April 2020 in Mathematical Methods of Operations Research

Authors: Rubén Blancas-Rivera | Rolando Cavazos-Cadena | Hugo Cruz-Suárez

Optimal and Nearly Optimal Policies in Markov Decision Chains with Nonnegative Rewards and Risk-Sensitive Expected Total-Reward Criterion

BOOK CHAPTER published 2002 in Markov Processes and Controlled Markov Chains

Authors: Rolando Cavazos-Cadena | Raúl Montes-de-Oca

Value iteration in a class of controlled Markov chains with average-criterion: unbounded costs case

PROCEEDINGS ARTICLE published in Proceedings of 1995 34th IEEE Conference on Decision and Control

Authors: R. Cavazos-Cadena | E. Fernandez-Gaucherand

Denumerable controlled Markov chains with average reward criterion: sample path optimality

PROCEEDINGS ARTICLE published in Proceedings of 1994 33rd IEEE Conference on Decision and Control

Authors: R. Cavazos-Cadena | E. Fernandez-Gaucheraud

Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity

JOURNAL ARTICLE published June 2015 in Mathematical Methods of Operations Research

Authors: Selene Chávez-Rodríguez | Rolando Cavazos-Cadena | Hugo Cruz-Suárez

Value iteration in a class of average controlled Markov chains with unbounded costs: necessary and sufficient conditions for pointwise convergence

JOURNAL ARTICLE published December 1996 in Journal of Applied Probability

Authors: Rolando Cavazos-Cadena | Emmanuel Fernández-Gaucherand