DocumentCode
2112986
Title
Risk-sensitive control of Markov chains and differential games
Author
Runolfsson, Thordur
Author_Institution
Dept. of Electr. & Comput. Eng., Johns Hopkins Univ., Baltimore, MD, USA
fYear
1993
fDate
15-17 Dec 1993
Firstpage
3377
Abstract
Considers the long-run average risk-sensitive optimal control problem for Markov chains on a countable state space. It is shown that the equivalence with stochastic differential games that had been previously established for stochastic dynamical systems holds for the average risk-sensitive optimal control problem for Markov chains as well. The approach is based on the Donsker-Varadhan large deviations theory
Keywords
Markov processes; differential equations; game theory; optimal control; stochastic systems; Donsker-Varadhan large deviations theory; Markov chains; countable state space; long-run average risk-sensitive optimal control; stochastic differential games; stochastic dynamical systems; Cost function; Eigenvalues and eigenfunctions; Optimal control; Particle measurements; Q measurement; State-space methods; Stochastic systems;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location
San Antonio, TX
Print_ISBN
0-7803-1298-8
Type
conf
DOI
10.1109/CDC.1993.325838
Filename
325838
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