# On the relative value iteration with a risk-sensitive criterion

arXiv: https://arxiv.org/abs/1912.08758 · HTML: https://mlsanity.com/paper/1912.08758/

## Key facts

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

## Built on by (most cited first, 1 of 1)

- [Planning and Learning in Average Risk-aware MDPs](https://mlsanity.com/paper/2503.17629/) (2025)

## 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.