LAUSR

Discounted approximations to the risk-sensitive average cost in finite Markov chains

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0 Published in 2017 at "Journal of Mathematical Analysis and Applications"

DOI: 10.1016/j.jmaa.2017.01.084

Abstract: Abstract This work concerns with Markov chains on a finite state space, which is endowed with a cost function. The evolution of the chain is observed by an agent with constant risk-sensitivity and, assuming that… read more here.

Keywords: risk sensitive; discounted approximations; markov chains; average cost ... See more keywords