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
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;
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
DOI :
10.1109/CDC.1993.325838
