DocumentCode
3567984
Title
Value iteration for controlled Markov chains with risk sensitive cost criterion
Author
Elecki, Tomasbzi ; Hern??ndez-hern??ndez, Daniel ; Pliska, Stanleyr
Author_Institution
Dept. of Math., Northeastern Illinois Univ., Chicago, IL, USA
Volume
1
fYear
1999
fDate
6/21/1905 12:00:00 AM
Firstpage
126
Abstract
The paper studies the value iteration algorithm for risk sensitive controlled Markov chains. For risk neutral (average cost) Markov decision processes, this algorithm is a standard technique to obtain approximations to a solution of the dynamic programming equation (O. Hernandez-Lerma, 1989; R. Cavazos-Cadena, 1997). We define the risk sensitive control problem of discrete time controlled Markov processes on an infinite horizon, and the first problem is to find suitable conditions under which there exists a solution to the dynamic programming equation when the control set is a compact metric space. We approach this problem, defining the dynamic programming operator (G.B. Di Masi and L. Stettner, 1997). Using the Banach fixed point theorem, it can be proved that this operator has a span-fixed point. The second basic problem is to proved that the value iteration algorithm can be implemented. This is solved using the contractive properties of the operator T
Keywords
Markov processes; decision theory; discrete time systems; dynamic programming; risk management; stochastic systems; Banach fixed point theorem; average cost; compact metric space; contractive properties; control set; controlled Markov chains; discrete time controlled Markov processes; dynamic programming equation; dynamic programming operator; infinite horizon; risk neutral Markov decision processes; risk sensitive control problem; risk sensitive controlled Markov chains; risk sensitive cost criterion; span-fixed point; value iteration algorithm; Cities and towns; Costs; Dynamic programming; Equations; Finance; Kernel; Mathematics; Optimal control; State-space methods; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
ISSN
0191-2216
Print_ISBN
0-7803-5250-5
Type
conf
DOI
10.1109/CDC.1999.832762
Filename
832762
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