Abstract:This work concerns with semi-Markov decision chains evolving on a finite state space. The controller has a positive and constant risk sensitivity coefficient, and the performance of a control policy is measured by the risk-sensitive average cost criterion. Under conditions ensuring that the optimal value function is determined via a single optimality equation, the fixed points of a family of contractive operators are used to obtain convergent approximations to the optimal average cost and to a solution of opti… Show more
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