Blackwell optimality and policy stability for long-run risk sensitive stochastic control
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866914049975910400 |
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| author | Bäuerle, Nicole Pitera, Marcin Stettner, Łukasz |
| author_facet | Bäuerle, Nicole Pitera, Marcin Stettner, Łukasz |
| contents | This paper analyzes the stability of optimal policies in the long-run stochastic control framework with an averaged risk-sensitive criterion for discrete-time MDPs on finite state-action space. In particular, we study the robustness of optimal controls when perturbations to the risk-aversion parameter are applied, and investigate the Blackwell property, together with its link to the risk-sensitive vanishing discount approximation framework. Finally, we present examples that help to better understand the intricacies of the risk-sensitive control framework. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2406_15952 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Blackwell optimality and policy stability for long-run risk sensitive stochastic control Bäuerle, Nicole Pitera, Marcin Stettner, Łukasz Optimization and Control Probability 60J05, 60J35, 90C39, 90C40, 93C55, 93E20 This paper analyzes the stability of optimal policies in the long-run stochastic control framework with an averaged risk-sensitive criterion for discrete-time MDPs on finite state-action space. In particular, we study the robustness of optimal controls when perturbations to the risk-aversion parameter are applied, and investigate the Blackwell property, together with its link to the risk-sensitive vanishing discount approximation framework. Finally, we present examples that help to better understand the intricacies of the risk-sensitive control framework. |
| title | Blackwell optimality and policy stability for long-run risk sensitive stochastic control |
| topic | Optimization and Control Probability 60J05, 60J35, 90C39, 90C40, 93C55, 93E20 |
| url | https://arxiv.org/abs/2406.15952 |