On the relative value iteration with a risk-sensitive criterion

Ari Arapostathis; Vivek S. Borkar

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arXiv · 1912.08758

On the relative value iteration with a risk-sensitive criterion

Ari Arapostathis·Vivek S. Borkar

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Abstract

A multiplicative relative value iteration algorithm for solving the dynamic programming equation for the risk-sensitive control problem is studied for discrete time controlled Markov chains with a compact Polish state space, and controlled diffusions in on the whole Euclidean space. The main result is a proof of convergence to the desired limit in each case.

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Ari Arapostathis, Vivek S. Borkar. 2019-12-18. On the relative value iteration with a risk-sensitive criterion. https://arxiv.org/abs/1912.08758

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