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

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 ◽

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 ◽

Controlled Semi-Markov Chains with Risk-Sensitive Average Cost Criterion

Journal of Optimization Theory and Applications ◽

10.1007/s10957-016-0916-z ◽

2016 ◽

Vol 170 (2) ◽

pp. 670-686 ◽

Cited By ~ 1

Author(s):

Selene Chávez-Rodríguez ◽

Rolando Cavazos-Cadena ◽

Hugo Cruz-Suárez

Keyword(s):

Markov Chains ◽

Average Cost ◽

Average Cost Criterion ◽

Cost Criterion ◽

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

A poisson equation for the risk-sensitive average cost in semi-markov chains

Discrete Event Dynamic Systems ◽

10.1007/s10626-015-0224-z ◽

2016 ◽

Vol 26 (4) ◽

pp. 633-656 ◽

Cited By ~ 1

Author(s):

Rolando Cavazos-Cadena

Keyword(s):

Markov Chains ◽

Poisson Equation ◽

Average Cost ◽

Foundations of Average-Cost Nonhomogeneous Controlled Markov Chains

10.1007/978-3-030-56678-4 ◽

2021 ◽

Author(s):

Xi-Ren Cao

Keyword(s):

Markov Chains ◽

Average Cost ◽

Controlled Markov Chains

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) ◽

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

10.1109/cdc.1999.832761 ◽

2003 ◽

Cited By ~ 1

Author(s):

R. Cavazos-Cadena ◽

E. Fernandez-Gaucherand

Keyword(s):

Markov Chains ◽

Risk Sensitive ◽

Vanishing Discount Approach

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 ◽