Blackwell optimality introduced in 1962 says that there is an optimal control for discounted problem, in the case of finite state and control spaces, with fixed discount factor close to 1, which is also optimal for other discount factors close to 1. In the talk such property will be shown for discounted risk sensitive functionals and connection to control problems with long run risk sensitive functionals will be presented.
The talk is based on the work with Nicole Bauerle (KIT) and Marcin Pitera (UJ), partly included in the paper
N. Bauerle, M. Pitera, Ł. Stettner, Blackwell optimality and policy stability for long-run risk sensitive stochastic control, SIAM J. Control Optim. 62 no. 6 (2024), 3172-3194.
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