Ergodic risk-sensitive control-A survey

被引：8

作者：

Biswas, Anup ^{[1
]}

Borkar, Vivek S. ^{[2
]}

机构：

[1] Indian Inst Sci Educ & Res Pune, Dept Math, Dr Homi Bhabha Rd, Pune 411008, India

[2] Indian Inst Technol, Dept Elect Engn, Mumbai 400076, India

来源：

ANNUAL REVIEWS IN CONTROL | 2023年 / 55卷

关键词：

Risk-sensitive control; Bellman equation; Generalized principal eigenvalue; Multiplicative dynamic programming; Verification theorem; Markov decision process; MARKOV DECISION-PROCESSES; INFINITE-HORIZON RISK; 2ND-ORDER ELLIPTIC-OPERATORS; VANISHING DISCOUNT APPROACH; FINITE-STATE MACHINES; AVERAGE COST; DISCRETE-TIME; BELLMAN EQUATIONS; PRINCIPAL EIGENVALUE; VARIATIONAL FORMULA;

D O I：

10.1016/j.arcontrol.2023.03.001

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson (Howard and Matheson, 1971/72) because of its ability to account for fluctuations about the mean, its connection with ��& INFIN; control, and its application to financial mathematics. In this article we attempt to put together a comprehensive survey on the research done on ergodic risk-sensitive control over the last four decades.

引用

页码：118 / 141

页数：24

共 157 条

[1] Learning algorithms or Markov decision processes with average cost [J].