Title :
Risk sensitive dynamic programming with unbounded cost
Author :
Balaji, S. ; Borkar, Vivek S. ; Meyn, S.P.
Author_Institution :
Dept. of Math., Iowa State Univ., Ames, IA, USA
Abstract :
The existence of an optimal feedback law is established for the risk sensitive optimal control problem with denumerable state space and unbounded cost. It is found that a solution can be found constructively using value iteration or policy iteration
Keywords :
dynamic programming; feedback; optimal control; state-space methods; denumerable state space; optimal feedback law; policy iteration; risk sensitive dynamic programming; risk sensitive optimal control problem; unbounded cost; value iteration; Automation; Computer science; Cost function; Dynamic programming; Mathematics; Optimal control; Process control; Robust control; State feedback; State-space methods;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.832840
