Recent results in controlled Markov chains with risk sensitive average criteria: the vanishing discount approach

Risk Sensitive ◽

Vanishing Discount Approach

Proceedings of the 37th IEEE Conference on Decision and Control (Cat. No.98CH36171) ◽

Controlled Markov chains with exponential risk-sensitive criteria: modularity, structured policies and applications

10.1109/cdc.1998.760782 ◽

2002 ◽

Cited By ~ 6

Author(s):

G. Avila-Godoy ◽

E. Fernandez-Gaucherand

Keyword(s):

Markov Chains ◽

Risk Sensitive ◽

Structured Policies

Controlled Markov chains with risk-sensitive exponential average cost criterion

Proceedings of the 36th IEEE Conference on Decision and Control ◽

10.1109/cdc.1997.657109 ◽

2002 ◽

Cited By ~ 5

Author(s):

A. Brau ◽

E. Fernandez-Gaucherand

Keyword(s):

Markov Chains ◽

Average Cost ◽

Average Cost Criterion ◽

Cost Criterion ◽

Successive approximations in partially observable controlled Markov chains with risk-sensitive average criterion

Stochastics ◽

10.1080/17442500500428833 ◽

2005 ◽

Vol 77 (6) ◽

pp. 537-568 ◽

Cited By ~ 2

Author(s):

Rolando Cavazos-Cadena ◽

Daniel Hernández-Hernández

Keyword(s):

Markov Chains ◽

Successive Approximations ◽

Risk Sensitive ◽

Average Criterion ◽

Partially Observable

Proceedings of the 37th IEEE Conference on Decision and Control (Cat. No.98CH36171) ◽

Controlled Markov chains with risk-sensitive criteria: some (counter) examples

10.1109/cdc.1998.758575 ◽

2002 ◽

Cited By ~ 3

Author(s):

A. Brau-Rojas ◽

R. Cavazos-Cadena ◽

E. Fernandez-Gaucherand

Keyword(s):

Markov Chains ◽

Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304) ◽

Value iteration for controlled Markov chains with risk sensitive cost criterion

10.1109/cdc.1999.832762 ◽

2003 ◽

Cited By ~ 2

Author(s):

T. Bielecki ◽

D. Hernandez-Hernandez ◽

S.R. Pliska

Keyword(s):

Markov Chains ◽

Value Iteration ◽

Cost Criterion ◽

The vanishing discount approach to constrained continuous-time controlled Markov chains

Systems & Control Letters ◽

10.1016/j.sysconle.2010.06.012 ◽

2010 ◽

Vol 59 (8) ◽

pp. 504-509 ◽

Cited By ~ 6

Author(s):

Tomás Prieto-Rumeau ◽

Onésimo Hernández-Lerma

Keyword(s):

Markov Chains ◽

Continuous Time ◽

Vanishing Discount Approach

Controlled Markov chains with discounted risk-sensitive criteria: Applications to machine replacement

Proceedings of the 36th IEEE Conference on Decision and Control ◽

10.1109/cdc.1997.657596 ◽

2002 ◽

Cited By ~ 4

Author(s):

G. Avila-Godoy ◽

A. Brau ◽

E. Fernandez-Gaucherand

Keyword(s):

Markov Chains ◽

Risk Sensitive ◽

Machine Replacement

Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228) ◽

Controlled Markov chains with risk-sensitive average cost criterion: the non-irreducible case

10.1109/cdc.2001.980563 ◽

2003 ◽

Author(s):

A. Brau-Rojas ◽

E. Fernandez-Gaucherand

Keyword(s):

Markov Chains ◽

Average Cost ◽

Average Cost Criterion ◽

Cost Criterion ◽

The vanishing discount approach in Markov chains with risk-sensitive criteria

IEEE Transactions on Automatic Control ◽

10.1109/tac.2000.880971 ◽

2000 ◽

Vol 45 (10) ◽

pp. 1800-1816 ◽

Cited By ~ 11

Author(s):

R. Cavazos-Cadena ◽

E. Fernandez-Gaucherand

Keyword(s):

Markov Chains ◽

Risk Sensitive ◽

Vanishing Discount Approach

A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains

The Annals of Applied Probability ◽

10.1214/105051604000000585 ◽

2005 ◽

Vol 15 (1A) ◽

pp. 175-212 ◽

Cited By ~ 14

Author(s):

Rolando Cavazos-Cadena ◽

Daniel Hernández-Hernández

Keyword(s):

Markov Chains ◽

Average Cost ◽