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On the relative value iteration with a risk-sensitive criterion

arXiv 1912.08758 ↗First posted 18 Dec 2019math.OC math.PRcited by 1

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Abstract (arXiv)

A multiplicative relative value iteration algorithm for solving the dynamic programming equation for the risk-sensitive control problem is studied for discrete time controlled Markov chains with a compact Polish state space, and controlled diffusions in on the whole Euclidean space. The main result is a proof of convergence to the desired limit in each case.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 18 Dec 2019.

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  1. 2025Planning and Learning in Average Risk-aware MDPscited by 2