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arXiv · 2406.15952

Blackwell optimality and policy stability for long-run risk sensitive stochastic control

Nicole Bäuerle·Marcin Pitera·Łukasz Stettner
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Abstract

This paper analyzes the stability of optimal policies in the long-run stochastic control framework with an averaged risk-sensitive criterion for discrete-time MDPs on finite state-action space. In particular, we study the robustness of optimal controls when perturbations to the risk-aversion parameter are applied, and investigate the Blackwell property, together with its link to the risk-sensitive vanishing discount approximation framework. Finally, we present examples that help to better understand the intricacies of the risk-sensitive control framework.

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Nicole Bäuerle, Marcin Pitera, Łukasz Stettner. 2024-06-22. Blackwell optimality and policy stability for long-run risk sensitive stochastic control. https://doi.org/10.1137/24m1671335

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