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A note on negative dynamic programming for risk-sensitive control

✍ Scribed by Anna Jaśkiewicz

Publisher: Elsevier Science
Year: 2008
Tongue: English
Weight: 516 KB
Volume: 36
Category: Article
ISSN: 0167-6377
DOI: 10.1016/j.orl.2008.03.003

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✦ Synopsis

Negative dynamic programming for risk-sensitive control is studied. Under some compactness and semicontinuity assumptions the following results are proved: the convergence of the value iteration algorithm to the optimal expected total reward, the Borel measurability or upper semicontinuity of the optimal value functions, and the existence of an optimal stationary policy.

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