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arXiv · 0704.0394

Average optimality for risk-sensitive control with general state space

Anna Jaśkiewicz
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Abstract

This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded. Using the vanishing discount factor approach, the optimality inequality and an optimal stationary strategy for the decision maker are established.

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Anna Jaśkiewicz. 2007-04-03. Average optimality for risk-sensitive control with general state space. https://doi.org/10.1214/105051606000000790

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