On the relative value iteration with a risk-sensitive criterion
Volume 122 / 2020
Banach Center Publications 122 (2020), 9-24
MSC: Primary: 90C40, 93E20, 49K40; Secondary: 60J25, 60J60.
DOI: 10.4064/bc122-1
Abstract
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 the whole Euclidean space. The main result is a proof of convergence to the desired limit in each case.
